EFTA Document EFTA01363042
IMPLIED VOLATILITY THROUGH TIME 2750 2500 2250 ,c3 2000 ct 1750 1500 ce 1250 1000 750 500 S&P 500 Price'. vs. Volatility Spread' 9/1.1 Attach i rleeormang ScondoIs Average Spread = +4.0 Rash trout us cat Downgrade Ago/Growth Concern 20 r, 10 o -3.0 -20 ri,g -3o ?I -40 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 Data source: Bloomberg L.P. and Harvest Volatility Management, LW The strategy seeks to monetize the positive spread of implied
Summary
IMPLIED VOLATILITY THROUGH TIME 2750 2500 2250 ,c3 2000 ct 1750 1500 ce 1250 1000 750 500 S&P 500 Price'. vs. Volatility Spread' 9/1.1 Attach i rleeormang ScondoIs Average Spread = +4.0 Rash trout us cat Downgrade Ago/Growth Concern 20 r, 10 o -3.0 -20 ri,g -3o ?I -40 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 Data source: Bloomberg L.P. and Harvest Volatility Management, LW The strategy seeks to monetize the positive spread of implied
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