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Index Greeks H1 2026: March sell-off drives spike in index Greeks before Q2 recovery

20 October 2026

Index Greeks H1 2026: March sell-off drives spike in index Greeks before Q2 recovery

Delta, Vega and Gamma exposures on structured products linked to major equity indices peaked during the March sell-off and eased as markets recovered in the second quarter, with the S&P 500 the main risk driver throughout.