EFTA Document EFTA01447704

Trade: A 6m 110% calls financed by 6m 90% puts in a ratio of 4 calls bought per put sold has zero net premium (spot ref: 1998) Very high demand for SPX puts makes it possible to buy multiple calls for each call sold Across major indices, the ratio of calls-to-puts is highest for US equities Skew (y-axis) vs ATM vol (x-axis) is stretched (Embedded image moved to file: pic22978.gif) Source: Bloomberg 24-Sep-2014 Renewed interest in Japanese equities ahead of GPIF re-allocation and policy mo