EFTA Document EFTA01462232

Source: Bloomberg 2S-Sep-2014 S&P 500 Put options dislocated relative to call options Trade: A 6m 110% calls financed by 6m 90% puts in a ratio of 4 calls bought per put sold has zero net premium (spot ref: 1998) very high demand for sPX puts makes it possible to buy multiple calls for each call sold Across major indices, the ratio of calls-to-puts is highest for US equities Skew (y-axis) vs ATM vol (x-axis) is stretched (Embedded image moved to file: pic29111.gif) Source: Bloomberg 24