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Answering common questions from my series on autocallables

There have been a number of questions and comments on autocallables. I will try and answer a few here.

My last estimate for the vega in the autocallable industry was a 700m USD from March 2019. Given that was before the covid crash, how big is that number now? Sadly I no longer have access to the team that produced that estimate. But when I look at the information sources that I do have access to, I am fairly sure vega has not dropped to much. First of all, Korean autocallable issuance very quickly recovered, which is unlike 2016, when issuance was subdued for a couple of years.

Why did Korean issuance recover so quickly? Well mainly because I don’t think many if any autocallables were knocked in.

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Autocallables and Volatility
Autocallables and structured products and short volatility products
Russell Clark