Historical Returns for Long-Option Strategy Based on Key Drivers
As of December 31, 2017
Past performance is not necessarily indicative of future results. There is no guarantee that any estimates or forecasts will be realized.
Historical returns measure the carrying costs of optionality, using delta hedging, for various option-market drivers by quintile from January 1, 1983, through December 31, 2017. Volatility slope is the difference between three-month and one-month options for the S&P 500 Index. Volatility risk premium is implied volatility minus realized volatility.
Source: MSCI, S&P and AllianceBernstein (AB)
The views expressed herein do not constitute research, investment advice or trade recommendations and do not necessarily represent the views of all AB portfolio-management teams.