Note: We used the January calls and puts as the "near" options to get at least 1 full month of time premium and defined "at the money" as the closet strike price to the market price of the underlying security. We used the June calls and puts to achieve 6 full months of time premium. The time premiums are greater than 1 month and 6 months, but there is no perfect solution on this date (December 8, 2006)
The options market sees the most upside opportunity in the emerging markets (EEM) and the least opportunity in the US large caps (SPY and DIA) and the developed non-US country large caps (EFA). The US mid-caps (MDY) and the NASDAQ (QQQQ) offer significantly more opportunity than the US and developed non-US large caps, but less than the emerging markets.
In the near-term, only the EEM offers significantly more upside potential than downside potential. In the intermediate-term (6-months) only the EEM, EFA and DIA offer a 3-to-1 or better upside-to-downside opportunity. All offer more than a 2-to-1 upside-to-downside ratio.
That's what the options market thinks. What do you think?