S&P 500 calls continue to cheapen

Cheap calls
By Daniel O'Leary
27 May 2014

Call options on the S&P 500 have plunged to their cheapest level in over 12 months, following consistent declines in volatility levels last week.

Credit Suisse strategists in New York said in a client note that S&P 500 delta calls implied volatilities are at one year lows across maturities. “For bullish investors, we recommend buying calls outright to take advantage of this,” the strategists said.

CS data shows S&P 500 three month ...

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