Structured Products

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Features

Delta in structured products

The delta measures the price sensitivity of an option for a given change in the underlying asset's price. In other words, it shows how much an option's price will rise or fall if the price of the underlying asset moves. The following paragraphs focus on the change in the delta value in relation to time to expiration in structured products. We will examine four different structured products: capital guaranteed notes, reverse convertibles, bonus certificates and certificates.

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Autocallable feature in products

An autocallable, which is the abbreviation of "automatically callable", is a feature of an exotic option. This feature is often found in structured products with longer maturities. A product with an autocallable feature would be called prior to maturity by the issuer if the reference asset is at or above its initial level (or any other predetermined level) on a specified observation date. The investor would receive the principal amount of their investment plus a pre-determined premium (often paid out in the form of a coupon) and the autocallable product is said to be redeemed early.

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