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.