Dealers see limited systemic risk from overexposed Korean autocall books

Peak vega is a trigger point in which the buying pressure of volatility replaces the selling pressure as an index drops closer to the downside barrier of autocall structures. This buyback of vega incurred losses of hundreds of millions of dollars during the China market crash in 2015. “We aren’t too concerned yet, as risk on China sensitive equities have been negated by carefully targeted policy easing and growth stabilisation,” said Bharat Sachanandani ( pictured ), head of f