Epstein Secrets

ty. So, selling 'expensive' 1M upside call options to finance the purchase of longer-dated calls has generally been attractive. Strategies selling 1M SPX calls have not performed recently Looking again at Figure 10 above, strategies selling 1M calls have, not surprisingly, "banked" close to the entir

rket between May-09 to Sep-13 saw strategies selling 1M options have lower returns than buying outright calls. This is largely due to the Apr-13 to Sep-13 period, which saw large up and down moves that resulted in large losses from some of the short 1M call that were rolled every month while the long-dated c

e prior -50 years. If anything, we tended to see slightly higher occurrences of big 1M rallies in our backtest period. (Figure 14. Distribution of 1M SPX returns 14% 12% 10% 8% 6% "6 4% 2% 0% Jan-1950 to Nov-2002 Dec-2002 to Sep-2013 T • T T ' r y"-T. T-TT '' .4 t * * * * * *

3 December 2013 US Derivatives Spotlight F Figure 13: The Apr-13 to Sep-13 period has seen significant underperformance from financing long-dated calls with 1M calls 2 115% 113%1 111% 1 109% 1 107% 1 < 105% E 103% 101% a

ty. So, selling 'expensive' 1M upside call options to finance the purchase of longer-dated calls has generally been attractive. Strategies selling 1M SPX calls have not performed recently Looking again at Figure 10 above, strategies selling 1M calls have, not surprisingly, "banked" close to the entir

rket between May-09 to Sep-13 saw strategies selling 1M options have lower returns than buying outright calls. This is largely due to the Apr-13 to Sep-13 period, which saw large up and down moves that resulted in large losses from some of the short 1M call that were rolled every month while the long-dated c