EFTA Document EFTA01365003

3 December 2013 US Derivatives Spotlight Low rates, high dividend yields, and low implied volatility levels make long-dated calls historically cheap Figure 2 shows the drivers of call option pricing, which are now at levels that make current pricing attractive. The colors signify whether these values are low (green) or high (red) within their history since Jan-03. We also annotate the boxes if higher values of these factors affect call premia positively CO or negatively ('-'). For examp