The document discusses the attractive pricing of long-dated call options due to low forward rates and depressed long-dated implied volatility. It compares historical performances of different long-dated call strategies against SPX Index returns, highlighting that call spreads tend to have the highest risk-adjusted returns. The document includes backtest results for SPX 18M and 36M options, noting that option strategies generally perform better in downturns but underperform in rising markets.
documents/vol00010-efta01365005-pdf.pdf
{"title":"US Derivatives Spotlight","document_date":"2013-12-03","document_type":"tabular","key_organizations":["Deutsche Bank Securities Inc."],"reference_numbers":["DB-SDNY-0055590","SDNY_GM_00201774","EFTA01365005"]}