This seventh article takes a detailed look at the lesser known risk measure Fugit, a Latin term rather than a Greek one, but closely linked to the standard Greek measures.

Fugit is used in the analysis of structured products that can terminate before their stated maturity (that is mentioned in the term-sheet). This aptly named “time is flying” metric captures the product’s expected remaining life and clearly deserves closer attention.

The analysis will focus on the Eurostoxx 50 index as the underlying of an autocall barrier reverse convertible (AC BRC).

The options’ parameters on 14 November 2025 are embedded in the AC BRC with:

Description Value
Index value (end of day of 14 November 2025): 5,693.77
Initial index value on 3 January 2025: 4,871.45
Maturity date:  17-Jan-31
Its expiration (on 14 November 2025): in 5.158110883 years. Initially: 6.04 years (3 January 2025)
Autocall level: 100%
Autocall frequency: Semi-annual from 12 January 2026 onwards
Barrier level (terminal barrier): 60%
Annual coupon rate paid semi-annually: 5.02%
Life-cycle:
  • 1st Coupon observation (10 July 2025): effective 51% coupon to be paid on 17 July 2025 if the index is at least 80% of its initial level (4,871.45) on observation date. Index closed at 5,438.27, that’s why it has been paid.
  • 2nd Coupon observation (12 January 2026): effective 51% coupon to be paid on 19 January 2026 if the index is at least 80% of its initial level (4,871.45). The index closed at 6,016.30, so the coupon was duly paid.
  • First Autocall: 12 January 2026 at 100% (of the initial index value of 4,871.45, that’s the auto-call level). Redemption date: 19 January 2026 and redemption value: 100%. Index value (end of day, 12 January 2026): autocall triggered as the index reached 6,016.30, well above the initial reference level of 4,871.45.

Source: Evolids Finance

Fugit (on 14 November 2025) based on a specific model used: 0.284841085 year or 104 calendar days (about) which would be the 26 February 2026. Calendar year convention: it will be converted from trading days to calendar days, if necessary.

The memory effect on coupons was not triggered, as every coupon was paid regularly up to and including the first auto-call event.

The low Fugit (much shorter than the product's maturity) clearly indicated a high likelihood of early auto-call termination. Note that Fugit equals zero only when the product is actually auto-called. On 14 November 2025, the index was already [(5,693.77 / 4,871.45) – 1] = +16.88% above its initial level, making the first auto-call observation deep In-The-Money (at that moment).

Early redemption creates reinvestment risk

An auto-call event returns your full investment early. You must then reinvest at potentially lower market rates or in less attractive structured products.

Why Fugit matters?

For investors: Fugit shows the expected product lifetime, helping assess reinvestment timing risk.

For issuers: Fugit indicates the practical hedging horizon for Delta/Gamma management.

How is Fugit determined?

As a very simple approach, Fugit of an At-The-Money American-style option is approximated with ½ the time to expiration. However, for an auto-call barrier reverse convertible (AC BRC), multiple sequential auto-call observations determine possible early redemption. This simple approach doesn't apply. The first auto-call date for this AC BRC was set almost exactly one year after issuance. It was deep In-The-Money on 14 November 2025, so Fugit slightly exceeded the about 2 months to that (auto-call) date. Of course, the market could have dramatically changed in these 2 months: a sharp market drop could have increased Fugit significantly, while further index gains would have kept it even closer to those 2 months.

Fugit is probabilistic, not deterministic. It reflects the probability-weighted expected time to termination/redemption of the structured product.

Monte Carlo simulations – commonly used for pricing these products – stop paths at auto-call events (and redemption occurs). Fugit is then calculated from the frequency distribution of auto-calls across all observation dates.

Here is a short table from one of our own models (14 November 2025) that nicely illustrates the discussion above: the higher the underlying, the lower the Fugit. But there's more to it. As a reminder the auto-call level is at an index value of 4,871.45 (100% auto-call level)

Initially Fugit was at (about): 2.7106

Index value Distance below autocall level Volatility Fugit in years
6,000 20% 0.1916
5,100 20% 0.9028
4,600 Below autocall level 20% 2.2632
4,000 Far below autocall level 20% 3.668
6,000 25% 0.2314
5,100 25% 1.027
4,600 Below autocall level 25% 2.1639
4,000 Far below autocall level 25% 3.4445
6,000 30% 0.2958
5,100 30% 1.1372
4,600 Below autocall level 30% 2.0939
4,000 Far below autocall level 30% 3.2781

 Source: Evolids Finance

At 6,000: Fugit is very low, but still higher than the time remaining to the next (actually, the first) auto-call date. This reflects some simulated paths first dropping below the auto-call level (set at 100%), equivalent to a sharp equity market decline within about two months.

At 5,100: Fugit increases. At 4,600: Fugit increases strongly, at 4,000 it is even higher.

In addition, there is another effect driven by volatility that we can see from the table above.

The inverse volatility effect

The terminal barrier is a payoff modifier, not a termination trigger. It determines the Profit & Loss at maturity but has no effect on the duration of the structured product. The only termination mechanisms are early redemption via auto‑call (auto-call event) and final redemption at maturity.

The inverse volatility effect observed far below the auto-call level (at 4,000: Fugit decreases as volatility increases) arises from the following dynamics:

Low volatility: paths evolve gradually, rarely reaching the auto-call barrier. Most survive all 10 observations and proceed to maturity, resulting in higher Fugit.

High volatility: paths exhibit wider swings, increasing the probability of spiking above the auto-call level at some observation. This enables early termination and lowers Fugit.

At an index level of 4,000 (that can be found in the table), the structured product sits 17.9% below the auto-call level, requiring a 21.8% rally to trigger early redemption. With 10 semi-annual observations remaining, a rally of this magnitude is unlikely in a stable environment. Therefore, only elevated volatility provides sufficient price dispersion to make such a recovery achievable, shifting the expected life of the product away from maturity and toward an earlier auto-call event.

In the next article, we'll examine interest rates and their multiple roles in structured products. The idea is to clarify its (sometimes “special”) effects.

Image: Adobe Stock

This article is based on data and analysis provided by the SRP Greeks product. Find out more about SRP Greeks here

Disclaimer: This content is not intended as a solicitation or an offer; it is provided solely for informational purposes to professional investors. The information presented herein has been prepared with great care; however, errors may still occur