Ripe for overwriting
The popularity of call overwriting may come and go, but with the highest levels of equity market volatility seen in years, interest in selling options is high. As a result, banks are looking to add twists to traditional call overwriting strategies. By John Ferry
The collapse of Lehman Brothers, along with the acquisition of Merrill Lynch by Bank of America and the US Federal Reserve's rescue of US insurer American International Group, sent another wave of volatility crashing through the equity markets in September.
The Chicago Board Options Exchange's (CBOE) Vix index, which measures the market's expectation of 30-day volatility on S&P 500 index option prices, leapt from 24.66% on September 12 to 36.22% on September 17. With risk-averse traders ditching
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