EFTA Document EFTA01364945

3 December 2013 US Derivatives Spotlight slightly higher returns at slightly lower volatility vs. outright calls. However, they did have equivalent to slightly higher volatility than some of the call spread strategies (see Figure 11 and Figure 121. Figure 11: 36M calls and spreads rolled after 24M, Dec- )2 through Sep-IS 25% 4 5% 36M 6% Pram Cal 0%:- 0% 2% 4% 6% 8% 0% Annualeed Return SPX Total Rehan • Figure 12: 18M calls and spreads rolled after 12M. Dec- 02 through Sep-13