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

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

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