EFTA Document EFTA01365335

3 December 2013 US Derivatives Spotlight US interest rates have been depressed by the iterations of QE programs and dividend payments have been increasing in the post financial crisis recovery. The low level of rates (see Figure 6) and relatively high implied dividend yields (see Figure 7) have resulted in negative carry costs and have reduced the SPX forward (the spot value 'grown' by the carrying costs, see Figure 8). Please note that the effect of the forward on the call premia is 'opt