The two stocks appear similar in size within structured products, but their risk profiles diverge sharply when measured through Greeks.
This article continues the analysis of single-stock sensitivities within the structured products universe. Both underlyings exhibit negative Vega, meaning structured product valuations decrease as implied volatility rises The focus here is on Apple and Roche, two underlyings with relatively similar total notional amount but with notably different risk profiles and sensitivities. Comparisons are made here with the S&P 500 index to provide context. Both stocks account for a small proporti