EFTA Document EFTA01365338

3 December 2013 US Derivatives Spotlight F Figure 15: Call spread returns similar to calls (36M calls and spreads rolled after 24M)... 9% 8% I 7% -I a 6% 1 .8cc5% i 2 4% 4 C 3% 2% -I I% • 0% Equity Outright: Spread: Spread: Outright: Spread: ATM ATM- 6%ATM- 2% 10% 1096-2% Sane' One., Mt Iloamlany finance LP (Figure 16: ... but with much higher risk-adjusted returns j(36M calls and spreads rolled after 24M) 80% TE,., 70% 0 o> 60% 5096 It 40% ctO • 30% -8 20% afr 1