Index concentration in mega-cap tech is still extreme, even as Nvidia, AMD and their peers stage an uneven resurgence. In this discussion, SRP and Kai Volatility Advisors look at what a genuine shift in correlation, or a reversion, would mean for autocall structures across the market. This is part 2 of our new six-part series on structured products and market behaviour.
What we cover:
- Mega-cap tech's uneven resurgence, still-extreme index concentration, and what stock-by-stock rotation means for structured product supply
- Worst-of, single-stock and index autocalls: how volatility, skew, correlation and barrier-breach probability drive different economics for each
- Why single-stock implied volatility can sit well above index volatility, and how that gap feeds into coupons
- Whether the correlation regime has changed, and which structures win if it persists or reverts
- Cem's Crumbs
