EFTA Document EFTA01365337

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% 2096 SPX Total Rehm • 15% z. 20% SPX Total Rehm • ! 15% ,p> 15% T'. 36M ATM Call 36M ATM Call I8M 5% ♦ + Shea IM Rem. C.all « IBM ATM Caii I0% 36M