This multi-part series aims to demystify structured products and make their core concepts easier to understand. Having introduced the fundamentals, we now turn to practical applications.
In this and the following article, we examine how structured products work in practice, including the impact of the Greeks on pricing and risk. We start with a popular instrument from the leverage products universe: the mini future. A first structured product explained: mini futures in the “Leverage Products” category
From the table in our previous article, here is what we have for leveraged products.
| Category | Description | Exposure Type / Beta Relationship | Typical Investor View |
| 1. Leverage Products | Provide amplified participation in the price movements of the underlying asset through derivatives, typically using futures or options. | Multiple of beta (≥ 1 or ≤ –1); very high sensitivity to underlying movements. | Strong directional view - investor expects a pronounced move in a specific direction. |
Source: Evolids Finance
In terms of exposure, a mini-future is either a long / bullish position - therefore expecting a move up in the underlying - or a short / bearish position - meaning the investor expects it to go down. While the individual mini-future has a Delta of 1, the 5x leverage means that for every US$1 invested, the investor manages a Position Delta / Dollar Delta of US$5 - meaning their total Profit & Loss (P&L) moves as if they held five dollars' worth of the underlying asset
The “mini” name should not be understood as meaning that the leverage is necessarily smaller than in futures - the futures offering has been extended by the exchanges for particularly successful futures (see below). Rather, it refers to the fact that mini futures are structured products that provide leveraged exposure with a smaller initial capital outlay and easier access for investors.
By contrast, exchange-traded futures are standardised contracts. They trade in fixed contract sizes, with one contract being the minimum tradable unit. For example, the contract size -actually called the multiplier - for the E-mini S&P 500 futures contract traded on the CME Globex platform at the Chicago Mercantile Exchange (CME) is US$50 times the index futures price. Note that the even smaller Micro E-mini S&P 500 contract (MES) has a multiplier of US$5, that is one tenth of the E-mini. The notional value of the contract is calculated as:
Futures contract price × multiplier = notional exposure
On Friday, 1 May 2026, the S&P 500 closed at 7,230.12. Using the cash S&P 500 index level as an approximation, one E-mini S&P 500 futures contract would represent:
7,230.12 × 50 = US$361,506
Strictly speaking, the calculation uses the E-mini futures price instead of the cash index level, but the example gives a good approximation of the economic exposure.
A mini-future structured product – where available – generally provides more flexible exposure than an exchange-traded “E-mini” futures contract because its access is typically easier in terms of minimum investment, trading format and availability through securities accounts rather than specialized futures accounts. Although the product still involves leverage, it also brings issuer risk, whereas exchange-traded futures have minimal counterparty risk (due to central clearing).
More key characteristics of the mini future
No direct purchase of the underlying in the bullish case and no direct short sale of the underlying in the bearish case, from the investor’s point of view. The investor buys the mini-future product, while the economic exposure is created through the product’s structure
No fixed expiration dates. Mini futures are open-end products, meaning they do not have a standard maturity date like futures contracts
However, the product can still end early. It can typically be terminated by the issuer or automatically terminated if a stop-loss / knock-out level is reached <= see below
Mini-futures include a financing level – that is necessary for the leverage effect (in other words, leverage is not for free) and a stop-loss level. The financing level reflects the leveraged structure, with investors paying only a fraction of the underlying asset price while the issuer finances the remainder. This (implied) loan is not free: the issuer charges a financing interest, which is reflected by a daily adjustment of the financing level. The stop-loss level plays a central role in the risk management of mini-futures by limiting potential losses (to total loss, but not more)
The intrinsic value of the investment instruments depends not only on the performance of the underlying asset, but also on the issuer's creditworthiness (credit risk), which can change over the duration of the product. The investor is exposed to both market risk of the underlying and credit/insolvency risk of the issuer
Delta behaviour: an investment in a mini future is similar to a direct investment in the underlying asset. If the underlying asset rises by US$1, a long mini-future also rises by US$1 – adjusted for the ratio, that is what fragment of one underlying the mini-future represents, such as 1/10th of an underlying for example. This means Delta is 1 for long positions and -1 for short positions. While the sensitivity to the underlying is 1:1, the overall value is - very slightly - adjusted daily to reflect the financing costs of the issuer
Leverage itself fluctuates. It increases as the underlying price moves closer to the stop-loss level (because the investor’s investment becomes smaller relative to the price of the underlying) and decreases as the distance widens
The structured product will limit losses, so the investor does not lose more than the amount invested. If losses become too large and the stop-loss level is reached, the product terminates early, which is often described as a knock-out or stop-loss feature. As a result, there are no margin calls, unlike futures contracts. This mechanism often allows for a residual value (the remaining capital) to be returned
Financing costs: the investor pays a daily financing cost, which usually includes the issuer’s margin. This cost reduces returns over time and is an important part of the product’s pricing
Exchange listing and liquidity: these products may also be listed on an exchange. Pricing is transparent and the issuer typically acts as a market maker (he makes the price) to provide liquidity. However, the available liquidity depends largely on the liquidity of the underlying asset (such as an equity index)
Credit risk: as mentioned, the investor is exposed to the issuer’s credit risk. If the issuer defaults, the investor may suffer a partial or even total loss, which is clearly disclosed in the product documentation
Typically classified as the riskiest investment – that is risk 7 in a scale that goes from 1 to 7 - for a holding period of just 1 day! That’s due to the leverage mentioned above. They are generally categorised as "complex" (not simple) products.
Use cases for the mini future
Tactical: short-term directional bets (momentum, event plays)
Hedging: for example, short mini futures to protect long stock/index positions
Portfolio leverage: increasing exposure without posting full notional - much less cash intensive
Summary for the Greeks based on certain assumptions
| Instrument | Delta (Δ) | Gamma (Γ) | Vega (ν) |
| Forward Long | +1.0, value increases by 1 for each 1-unit rise in the underlying | 0.0, Delta does not change when the underlying moves | 0.0, no sensitivity to volatility |
| Forward Short | -1.0, value decreases by 1 for each 1-unit rise in the underlying | 0.0, Delta does not change when the underlying moves | 0.0, no sensitivity to volatility |
| Futures Long | +1.0, value increases by 1 for each 1-unit rise in the underlying | 0.0, Delta does not change when the underlying moves | 0.0, no sensitivity to volatility |
| Futures Short | -1.0, value decreases by 1 for each 1-unit rise in the underlying | 0.0, Delta does not change when the underlying moves | 0.0, no sensitivity to volatility |
Source: Evolids Finance
No optionality. That means that there is no sensitivity to the volatility of the returns in the underlying: it is irrelevant for its pricing.
Pricing may use continuous compounding.
Dividends, storage costs, convenience yield or other carry effects are included through the pricing model if relevant.
Constant interest rates in the simplified setup.
No transaction costs, taxes or default risk in the simplified setup.
Under these assumptions, futures and forwards behave the same in the basic linear-contract view
Mini-futures behave just like the contracts above: they move 1-to-1 with the price (and are not affected by volatility). The only difference is the Stop-Loss used in the mini-future: if the price hits this level, the product simply terminates. Until that happens, the math remains simple and linear.
Part 3 of “Structured Products and the Greeks in easy language” will cover additional categories of structured products, presented in a step-by-step format for the reader.
Appendix
More about the mini future
How does the mini-future work concretely? Here is a step-by-step numerical case study of a bullish mini-future (also known as a mini-long). These scenarios are also shown in the Key Information Document (KID), including in particular a Stress-Scenario – meaning it goes terribly wrong
A bullish mini future is an open-ended, leveraged derivative that allows an investor to profit from an increase in the price of an underlying asset (without directly buying the underlying)
In this scenario, we will look at a mini-future on a fictional stock, ABC, with a ratio of 0.1 (meaning 1 unit of the mini-future represents 1/10th of 1 share of ABC)
Initial setup
Let’s assume you want to buy this mini future today. Here are the parameters set by the issuer
- Underlying asset price (ABC): US$100.00
- Financing level (strike price): US$80.00 (this is the portion of the share price the issuer is financing for you)
- Stop-loss level: US$84.00 (a safety buffer above the financing level. If the stock drops to this price, the product is immediately terminated)
- Ratio: 0.1 (10 mini-futures = 1 underlying share)
- Financing cost: 5% per annum (the interest the issuer charges for loaning you the US$80.00 mentioned above)
Calculating the initial price and leverage
Because the issuer is financing US$80.00 of the US$100.00 stock, the intrinsic value of one full share's worth of the mini future is US$20.00. However, because of the ratio, we must adjust this for a single unit
Mini-future price = (underlying price - financing level) × ratio. Assumed ratio convention
Mini-future price = (US$100.00 - US$80.00) × 0.1 = US$2.00
You only pay US$2.00 to control 1/10th of a US$100 share. Let's look at the leverage:
- Leverage = (underlying price × ratio) / mini-future price
- Leverage = (US$100.00 × 0.1) / US$2.00 = 5x
Scenario “bullish”: the bullish case with stock rises by 10%
Imagine a few days later, ABC announces great earnings and the stock price jumps from US$100.00 to US$110.00. (We ignore the few days of financing costs for simplicity here)
- New mini-future price = (US$110.00 - US$80.00) × 0.1 = US$3.00
- Your profit: US$3.00 - US$2.00 = US$1.00 per unit
- Return on Investment: (US$1.00 / US$2.00) = +50%
Takeaway: the underlying stock went up 10%, but thanks to the 5x leverage, your mini-future investment went up 50%. The 0.1 ratio allowed you to participate in this trade for just US$2.00 per unit <= the bid-ask spread that is large in percentage is something to observe
Scenario “stable”: the holding cost with the stock that stays flat for 30 days
Unlike standard listed options and futures, mini-futures typically have no fixed maturity, although the issuer may have early termination rights and the product terminates if the stop-loss is hit. Instead, the issuer charges a daily interest rate for the money they are lending you (at the financing level). This is done by slightly increasing the financing level every day
Let's say you hold the product for 30 days and the stock remains exactly at US$100.00
Annual financing cost: US$80.00 × 5% = US$4.00 per year
30-day financing cost: US$4.00 × (30 / 365) ≈ US$0.33
New financing level: US$80.00 + US$0.33 = US$80.33
Now, let's calculate the price of your mini future
New mini-future price = (US$100.00 - US$80.33) × 0.1 = US$1.967
Takeaway: even though the stock price didn't move, your mini-future lost about 1.6% of its value (US$2.00 down to US$1.967). This represents the cost of leverage over time.
Scenario “bearish”: the bearish case and the stop-loss
What happens if the stock crashes? Mini-futures have a built-in stop-loss level to ensure you never lose more than your initial investment (you can never owe the issuer money. In other words, you’re not a financial risk for the issuer of the structured product)
Assume bad news hits the market and ABC drops to US$84.00 (the stop-loss level)
Knock-out: the moment the stock touches US$84.00, the mini-future is immediately terminated ("knocked out"). It stops trading
Unwinding: the issuer immediately unwinds his hedge (the actual ABC stock) in the open market (you are long and the issuer is short)
Residual value: because markets move fast, the issuer might sell the stock at US$83.50
Residual value per unit = (execution price - financing level) × ratio
Residual value = (US$83.50 - US$80.00) × 0.1 = US$0.35 (for illustration purposes)
Note: the issuer usually calculates the residual value using the financing level at the moment of knock-out (after any intraday financing adjustment)
Takeaway: you bought the unit for US$2.00 and received US$0.35 back, resulting in an 82.5% loss. However, because of the stop-loss mechanism, you did not lose your entire investment and more importantly, you did not fall into negative equity (meaning you don’t owe the issuer money!). In practice, a complete loss of capital may occur if the market moves sharply in an adverse direction.
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.