Looking at the aggregated risk of large portfolios provides valuable insight into trading distortions and opportunities that may not be immediately obvious by simply tracking issuance trends.

In the previous article, we considered the definition and calculation of sensitivities, or “Greeks”, for individual structured products. The size of the Delta indicates the amount of stock, futures or other holdings required to serve as the primary hedge for the structured product position The main Greeks are named Delta, Gamma, Vega, Rho and Theta. Delta measures the sensitivity of the product price to the underlying asset, while Gamma represents the rate of change of Delta rela

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