Illegal Activity
none
Blackmail
none
Date
Dec 2016
Document Type
other
Model
gemini-2.0-flash-001
Processed
2026-02-07T18:43
Summary
The document presents option pricing for the Cash Equity Risk Premia Portfolio TV5, comparing it to the S&P 500. It highlights the cost-efficiency of purchasing protection on the TV5 portfolio due to its diversification.
Metadata
- Subject
- Cash Equity Risk Premia Portfolio TV5 Option Pricing
- Sender
- —
- Recipients
- —
- Document ID
- DB-SDNY-0054992
- 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 flow
Organizations 2
S&P 500Cash Equity Risk Premia Portfolio TV5
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 (S&P 500) versus the Cash Equity Risk Premia Portfolio TV5, highlighting the cost-efficiency of the latter.
File Info
- File Name
- EFTA01364455.txt
- Dataset
- dataset_10
- Type
- Text
- Model
- gemini-2.0-flash-001
- Processed
- 2026-02-07T18:43:39.191485
- DOJ Source
- View on DOJ