EFTA Document EFTA01365344
3 December 2013 US Derivatives Spotlight Relative magnitude of risks We now compare the impact on current SPX call premium from an instantaneous change in spot, implied volatility, rates, and dividend yields. Delta risk remains the prominent driver of PA.. Please note that the parameters have been 'bumped' by different amounts to roughly scale the relative movement of these parameters. For instance a 1% move in spot generally sees a much smaller than 100bp change in 36M fixed-strike vola
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3 December 2013 US Derivatives Spotlight Relative magnitude of risks We now compare the impact on current SPX call premium from an instantaneous change in spot, implied volatility, rates, and dividend yields. Delta risk remains the prominent driver of PA.. Please note that the parameters have been 'bumped' by different amounts to roughly scale the relative movement of these parameters. For instance a 1% move in spot generally sees a much smaller than 100bp change in 36M fixed-strike vola
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