The ETF provider is building on its derivatives expertise with rules-based autocallables and a pipeline of structured strategies, as it looks to extend access to options-based outcomes through transparent, index-driven products.

VegaShares is betting that “indexification” will help shape the next phase of structured ETFs, bringing greater transparency and predictability to options-based strategies as the market expands beyond its early products.

The rules governing portfolio construction and rebalancing are defined in advance, making the strategy easier to understand and value - Sunny Wong

The firm, founded by former BMO bankers, entered the ETF market in April with a derivatives-focused offering and has since introduced an autocallable ETF using an adaptive volatility target. Its product development pipeline includes further structured ETF strategies, with a more conservative version of its existing Vega Autocallable Income ETF (VAIE) expected to follow in September.

For Sunny Wong (pictured), co-founder of VegaShares, the distinction between actively managed and index-based structured ETFs comes down to how much of the investment process can be defined in advance.

“An indexified investment strategy means pre-defining the structuring, allocation, and rebalancing activities of the underlying components ahead of time,” Wong said.

Rules-based approach

Wong said actively managed options-based ETFs may need to source new structures from dealers as a fund grows or existing positions expire. In those cases, the eventual payoff depends on the quotes available at the time.

An index-based approach instead defines how structures are added and rebalanced, with payoff parameters such as caps and coupons determined formulaically using inputs including interest rates and volatility.

VegaShares chose this model to provide greater consistency and visibility into portfolio construction, while allowing advisers and investors to assess how a strategy might have behaved in different market environments.

“ The rules governing portfolio construction and rebalancing are defined in advance, making the strategy easier to understand and value,” Wong said.

Backtesting is another part of the proposition, particularly for strategies exposed to changing volatility, interest rates and market drawdowns. Wong said an index methodology provides a historical framework for assessing those conditions, which he said is not available in the same way for an actively managed strategy.

VegaShares’ approach has also included adaptive volatility targeting. In May, the firm introduced an adaptive volatility target for VAIE, with each synthetic autocall referencing one of 11 underlying indices and Goldman Sachs acting as hedge provider.

Rather than applying a static volatility target, the strategy calibrates to prevailing market volatility when each new autocallable is launched, Wong said. He added that this can help avoid taking unnecessary risk in calmer markets while maintaining income potential.

Broader access

Wong sees structured ETFs as complementary to traditional structured notes rather than a replacement for them. Notes retain established distribution networks across private banks, broker-dealers and wealth management platforms, while ETFs can broaden access to options-based payoffs among advisers who may not previously have used structured notes.

He pointed to lower investment minimums, intraday liquidity and, in many cases, greater tax efficiency as potential advantages of the ETF wrapper. A fund with a long index history may also be easier to incorporate into model portfolios than individual structured notes.

The scope for indexification extends beyond autocallables, Wong said, to any payoff that can be systematically defined. He added that index-based strategies may offer tax advantages in certain circumstances, where investors benefit from appreciation in a swap rather than relying solely on ordinary income distributions.

VegaShares’ product roadmap reflects that broader ambition. Following its April market debut, the firm has also launched ETFs focused on the space economy and AI infrastructure, alongside its derivatives-led offering.

Wong said the structured note market provides a roadmap for future ETF innovation, with buffer growth and autocallables among the first payoff types to gain traction. Other strategies could follow where they can be adapted appropriately for an ETF structure.

Suitability

Custom strategy indices are also becoming more important as issuers look to optimise strategies for different market environments and investment objectives, according to Wong.

Historically, he said, customised indices were used largely in insurance products and institutional mandates, including volatility-controlled strategies designed to lower option budgets. Their role has since broadened, with income generation becoming a key objective.

Features such as decrement mechanisms can reduce option costs and increase available yield, while scenario analysis allows index designers to assess trade-offs across interest rates, volatility and market conditions. Wong cautioned, however, that no single strategy performs best in every environment.

Although a common index methodology may potentially support structured notes, ETFs and insurance products, Wong said suitability remains central when adapting institutional strategies for retail distribution.

“Banks have developed hundreds of sophisticated quantitative strategies, but not every institutional strategy is appropriate for retail investors,” he said.

For ETFs in particular, strategies must be understandable and clearly explained to advisers. Education and disclosure become increasingly important as structured ETFs reach a broader investor base than traditional structured notes.

“Investors do not need to understand every technical detail, but they should clearly understand how the product behaves, the risks involved and the circumstances in which it is designed to perform,” Wong said.

He expects further structured ETF innovation to focus on refining income and growth outcomes while making strategies more accessible, transparent and scalable for advisers and investors.

This Q&A is published in full as a preview of the SRP Custom & Strategy Report 2026, which includes selected extracts from the interview. 

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