Autocallables and Volatility

Autocallables and structured products and short volatility products

HSCEI AND THE WEIRDNESS OF AUTOCALLABLESWatch now (10 min) | VHSCEI and HSCEI have become positively correlated, as the weirdness of autocallables plays out. Shorting VHSCEI looks attractive.
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GREAT BARRIER GRIEFWatch now (10 min) | Barriers are far lower than I expected but HSCEI autocallables are getting near its barriers
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AUTOCALLABLES - FAQWatch now (8 min) | Answering common questions from my series on autocallables
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AUTOCALLABLES AND ITS EFFECT ON IMPLIED VOLATILITYWatch now (11 min) | HSCEI gives us a worked example. KOSPI 200 looks to be close to barriers.
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WHY LOOK AT AUTOCALLABLES NOW?Watch now (9 min) | A number of key markets are near trading near barriers, which means the risk of a volatility blow up is high. Without a fall in…
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KOREAN AUTOCALLABLES AND THE MISPRICING OF VOLATILTYWatch now (11 min) | The presence of autocallables cause volatility to be mispriced. The end of autocallables will lead to a repricing of volatilty.
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THE MECHANICS OF AUTOCALLABLESWatch now (10 min) | A tried and tested hedge fund strategy, packaged as a retail product
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