Illegal Activity
none
Blackmail
none
Date
Dec 2016
Document Type
other
Model
gemini-2.0-flash-001
Processed
2026-02-07T18:41
Summary
This document provides indicative pricing for put options on the Cash Equity Risk Premia Portfolio TV5, comparing the cost of protection on equity portfolios versus the expected return. It highlights the cost-efficiency of purchasing protection on the portfolio due to diversification.
Metadata
- Subject
- Cash Equity Risk Premia Portfolio TV5 Option Pricing
- Sender
- —
- Recipients
- —
- Document ID
- DB-SDNY-0054964
- Date
- Dec 2016
Notable Quotes 2
Protection on equity portfolios can expensive relative to the expected return on a long equity position — e.g. a 2-year 90% option on the S&P 500 costs 6.9%, or over 3.4% per annum.*
However, the diversification between the strategies in the Cash Equity Risk Premia Portfolio TV5 allows protection on the Portfolio to be purchased relatively cost-efficiently. E.g. a 2-year 90% option costs 0.85%, or less than 0.45% per annum, versus backtested returns of —7% per annum on the index.
Financial Information
Amounts:6.9%3.4%9.27%7.14%0.85%0.45%7%1.45%0.60%
Assets:
- Equity portfolios
- S&P 500
- Cash Equity Risk Premia Portfolio TV5
Transactions:
- Purchasing protection on equity portfolios
- Investment in the index
Raw Analysis JSON
click to expand
Themes
Financial transactions/money flowBusiness dealings
Organizations 1
S&P 500
Text Analysis
- Tone
- Informative
- Purpose
- To provide indicative pricing for out-of-the-money put options on the Cash Equity Risk Premia Portfolio TV5.
- Significance
- The document compares the cost of protection on equity portfolios versus the expected return and highlights the cost-efficiency of purchasing protection on the Cash Equity Risk Premia Portfolio TV5.
File Info
- File Name
- EFTA01364428.txt
- Dataset
- dataset_10
- Type
- Text
- Model
- gemini-2.0-flash-001
- Processed
- 2026-02-07T18:41:46.133272
- DOJ Source
- View on DOJ