Eurostoxx dislocations signal autocall hedging pain

Swings in dividends and volatility reveal year-end stress as European index slump tests “peak vega”

Weird moves in markets related to popular structured products suggest many dealers struggled to cope with a brutal fourth quarter, when stock indexes tanked around the world, and dynamics more often seen in Asian equity markets leapt to Europe.

The Eurostoxx 50, which underlies an estimated $120 billion equivalent of autocallable bonds, shed more than 11% in the last three months of the year – “a disaster” for structured products issuers, according to one strategist, because their sensitivity

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here:

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: