Illegal Activity
none
Blackmail
none
Date
2013-12-03
Document Type
report
Model
gemini-2.0-flash-001
Processed
2026-02-07T18:41
Summary
This document is a report from Deutsche Bank Securities Inc. analyzing the risk-adjusted returns of call and call spread strategies, suggesting that scaling up call spread notionals can be beneficial.
Metadata
- Subject
- US Derivatives Spotlight
- Sender
- —
- Recipients
- —
- Document ID
- DB-SDNY-0056044, SDNY_GM_00202228
- Date
- 2013-12-03
Notable Quotes 2
Given the attractive levels of long-dated calls currently, investors may still want to stick with outright call options rather than spreads to maintain a higher delta.
In the historical backtests, returns and risk-adjusted returns are both better for call-spreads after scaling to equivalent delta as the outright call.
Financial Information
Amounts:6%2%10%80%70%60%50%40%30%20%10%3%1%5%
Assets:
- long-dated calls
- outright call options
- call spread
Transactions:
- trades an equivalent initial delta on the call spread as an outright call
- buy 2.5x contracts of the call spread instead of each call contract
Raw Analysis JSON
click to expand
Themes
Financial transactions/money flowBusiness dealings
Organizations 4
Deutsche Bank Securities Inc.Sane' One., Mt Iloamlany finance LPSan Gosh* Sent Samba" Fare* IPSan Destro Sr* Scambrog hew* 40
Text Analysis
- Tone
- Professional
- Purpose
- To analyze and compare the risk-adjusted returns of different call and call spread strategies.
- Significance
- The document provides insights into the potential benefits of scaling up call spread notionals to achieve similar delta exposure as outright calls.
File Info
- File Name
- EFTA01365338.txt
- Dataset
- dataset_10
- Type
- Text
- Model
- gemini-2.0-flash-001
- Processed
- 2026-02-07T18:41:11.309930
- DOJ Source
- View on DOJ