The document discusses the relative magnitude of risks impacting SPX call premium, focusing on changes in spot, implied volatility, rates, and dividend yields. It includes a table showing the percentage impact of parameter moves over different maturities (18M, 36M, 60M).
documents/vol00010-efta01365344-pdf.pdf
{"title":"US Derivatives Spotlight","document_date":"2013-12-03","document_type":"tabular","key_organizations":["Deutsche Bank Securities Inc."],"reference_numbers":["DB-SDNY-0056050","SDNY_GM_00202234","EFTA01365344"]}