call spread strategies (see Figure 11 and Figure 121. Figure 11: 36M calls and spreads rolled after 24M, Dec- )2 through Sep-IS 25% 4 5% 36M 6% Pram Cal 0%:- 0% 2% 4% 6% 8% 0% Annualeed Return SPX Total Rehan • Figure 12: 18M calls and spreads rolled after 12M. Dec- 02 through Sep-13 15%