EFTA Document EFTA01365005

3 December 2013 US Derivatives Spotlight The low forward combined with depressed long-dated implied volatility has resulted in the most attractive pricing on long-dated call options in many years. As an example of how marked this difference can be, if we compare prices of 6O-month maturity SPX ATMS calls on 30-Jun-03 and 11-Oct-13. two periods with the same implied volatilities but very different forwards, the difference in premium is -4.5% (19.1% vs. 14.6%). However, if we compare the op