SRP Greeks is a comprehensive platform for structured product analysis and risk management that offers daily sensitivities across different Greeks (such as Delta, Gamma, Vega, Theta, Vanna and Charm). The platform helps institutional users identify market shifts and value opportunities, improve hedging strategies and make better risk-based decisions for a number of important underlyings, including the S&P 500, EuroStoxx 50, KOSPI 200, and stocks Nvidia and Tesla. Detailed metrics and five years of backtested data further enhance its utility for portfolio risk monitoring.

To examine the consequences of the US administration's “Liberation Day” tariffs announcement on 2 April 2025, this article focuses on calculated Greek exposures from 15 March to 30 April 2025. US President Trump's trade policies included retaliatory tariffs of up to 50% on 57 nations and a universal 10% import tariff. Global responses were prompt, with China and the EU preparing retaliatory actions.

Significant stock market disruptions were caused by the announcement and volatility in currency markets also increased, as the US dollar gained value relative to emerging market currencies. Due to supply chain issues, technology stocks were particularly affected as the NASDAQ exchange recorded its most volatile intraday sessions since 2022.

When analysing the behaviour of structured products, we see that the Greeks were impacted by the increased market volatility caused by these events. We will examine position-level Delta, Vega, Gamma and Theta in the sections that follow to evaluate how structured product exposures changed during this time of increased risk.

Index Performance Analysis

The most notable performer was Tesla, which showed significant volatility with several periods of fluctuations. Due in large part to its domestic manufacturing advantages and perceived status as a tariff beneficiary, Tesla's stock price recovered from its initial decline to 93% following the announcement of the tariff reaching 123% by the end of the month. The S&P 500 saw a moderate decline during the April tariff news period, settling at about 97% by the end of the month after maintaining relative stability throughout March. Diversification across industries with different levels of tariff exposure helped to mitigate the general market uncertainty reflected in this measured response. As concerns about the semiconductor supply chain grew, Nvidia showed a notable sensitivity to trade tensions, falling steadily from 102% in mid-March to a low of 79% following the Liberation Day tariff announcement, which represents a 23% decline. The partial and erratic recovery, which saw the stock ending at about 91% by the end of April, demonstrated the ongoing investor anxiety over disruptions in chip manufacturing. When tariff uncertainty peaked, the EuroStoxx 50 fell from its initial level to a low of about 85% before recovering to 94%. For structured product issuers, this correlation break with US markets, specifically Tesla's outperformance compared to European underperformance, created unusual hedging challenges, driving Greeks to elevated levels as traditional correlation relationships weakened.

Greek sensitivities during the tariff shock

Position Delta indicates directional sensitivity, and usually moves in the opposite direction from spot prices because most structured products are capital at risk with fixed upside levels. Position delta represents the dollar exposure to products with that underlying and, therefore, is influenced by total sales volume as well as the unit sensitivity for each product. Since the S&P 500 is easily the highest index by sales volume of structured products, this explains why its curve is much in excess of the others, followed by the EuroStoxx 50. The S&P 500 and EuroStoxx 50 displayed traditional rebalancing with Deltas of 25,000 to 31,000 and 13,000 to 15,000. On 2 April, the S&P spike suggests defensive positioning in the face of tariff uncertainty. Due to their smaller structured product bases and higher volatility profiles, Nvidia and Tesla displayed amplified but lower-absolute Deltas.

Tech names were the ones with the strongest Vega sensitivity exposure to implied volatility. In light of worries about semiconductor supply chains, S&P 500 saw a deep negative Vega (-100 to -120), indicating significant short volatility exposure. A similar pattern was seen for the EuroStoxx 50 (-40 to -60). Tesla and Nvidia, on the other hand, maintained modestly negative Vega values (-5 to -6 and -14 to -18, respectively), indicating a rise in the need for volatility hedges.

Theta analysis showed patterns in issuance and maturity for all underlyings. S&P Theta peaked at 26 in mid-April, suggesting either a new issuance or a grouping of observation dates. Indicating cautious issuance and balanced maturities, the Theta of the EuroStoxx 50 remained steady between 8 and 10. Tesla and Nvidia displayed low Theta (2 to 5), which was indicative of smaller markets.

Position Gamma, which assesses second-order changes to spot movements, was variable during the tariff period. Active hedging was required because the S&P 500 consistently showed negative Gamma exposure between -800 and -1000, and the EuroStoxx 50 stayed moderately between -200 and -400, reflecting the smaller total notional size. Nvidia and Tesla had much smaller Gamma exposure, but it did vary significantly, as can be seen from the chart.

Overall, the wealth of data provided by the SRP Greeks service highlights the significant changes in Greeks and therefore the behaviour of structured products during this period of market stress. The Liberation Day tariff announcement raised volatility and triggered market uncertainty, making hedging and positioning for structured product markets even more important.

Tags: Valuations
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