The document provides an analysis of derivatives strategies, focusing on the return and volatility of various outright and spread strategies. It discusses the benefits of rolling call spread positions prior to expiry to achieve higher risk-adjusted returns and reduce time decay effects. The document includes tables comparing different strategies and their annualized returns and volatilities.
documents/vol00010-efta01365339-pdf.pdf
{"title":"US Derivatives Spotlight","document_date":"2013-12-03","document_type":"tabular","key_organizations":["Deutsche Bank"],"reference_numbers":["DB-SDNY-0056045","SDNY_GM_00202229","EFTA01365339"]}