Our new Structured Products Review contains Research Reports on over 15,000 Structured Products and over 10,000 Reverse Convertibles.
Implied volatility refers to the expected fluctuations of an asset in the future--higher implied volatilities indicate larger expected fluctuations. Since the value of the product is directly related to fluctuations in the reference asset level, we plot the implied volatility of the reference asset over time. Issuers may release products when implied volatilities indicate favorable market conditions.
We provide a detailed Decomposition of each product based on the procedure described in the Valuation section. Each component has a maturity payoff diagram. When combined, these components make up the maturity payoff diagram of the product. We also value each component, and their sum equals the fair value of the product.
The footnote section contains valuation details, assumptions, and other relevant information.