A risk unspoken

Structured products

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Repricing of risk has been evident across equity derivatives markets in recent weeks. Understandably, most attention has fallen on volatility risk. The Chicago Board Options Exchange's Vix index, which measures the market's expectation of 30-day volatility on S&P 500 index option prices, touched 37.5% on August 16, its highest intra-day level since October 2002. It has traded at above 20% in subsequent weeks before dipping below this level to close at 19% on September 21.

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