This article continues the analysis of single-stock sensitivities within the structured products universe. The focus here is on Apple and Roche, two underlyings with relatively similar total notional amount but with notably different risk profiles and sensitivities. Comparisons are made here with the S&P 500 index to provide context. Both stocks account for a small proportion of total notional in the SRP Greeks universe, with Apple at 0.92% and Roche at 1.04% compared with 31.54% for the S&P 500 index. However, these are two of the largest single stock names.

Notional Exposure and Product Distribution

Delta and Vega Differences

Apple has a Position Delta of 382.5 USDm compared with 238.2 USDm for Roche, indicating a materially larger exposure to underlying price movements despite their similar notional sizes. This suggests that, on a unit basis, Apple-linked products are more sensitive to changes in the underlying. A 1% move in Apple implies an approximate 3.8 USDm change in valuation, whereas the same move in Roche implies a move of around 2.4 USDm. The higher Delta exposure for Apple likely reflects product structure differences, with greater participation in upside or more in-the-money positioning, while Roche-linked products have lower aggregate directional exposure, potentially reflecting a higher share of defensive or yield-focused structures.

Both underlyings exhibit negative Vega, meaning structured product valuations decrease as implied volatility rises. Apple’s Vega of -2.66 is larger in absolute terms than Roche’s -1.64, aligning with its higher Delta and indicating greater sensitivity to changes in implied volatility. Apple stock also has a higher one-year historic volatility of 28.51% compared with Roche’s 23.53%, meaning larger price moves are more likely, which in combination with its higher Delta will likely lead to a greater impact on the portfolio.

Gamma, Vanna and Charm

Position Gamma measures the sensitivity of the overall portfolio Delta to changes in the underlying price. Apple has a position Gamma of -7.37 compared with -5.67 for Roche, indicating that the Delta of Apple-linked products is also more sensitive to movements in the underlying. This means that as Apple’s share price changes, the portfolio’s exposure will adjust more quickly, leading to greater hedging requirements. Roche’s lower position Gamma suggests a more stable Delta profile, with smaller changes in exposure for a given move in the underlying. This difference is broadly consistent with Apple’s higher overall risk sensitivity, while Roche-linked exposures appear less reactive to short-term price movements.

Dividend sensitivity is modest for both underlyings, with Apple at -4.37 and Roche at -2.87. The negative sign indicates that higher dividend yields reduce product valuations, as expected for equity-linked structures. Apple shows somewhat higher sensitivity, which is consistent with longer maturities or greater participation in forward price expectations. However, in both cases dividend sensitivity remains small relative to Delta exposure, suggesting dividends are not a primary driver of valuation risk.

Both underlyings exhibit positive Theta, meaning valuations increase as time passes assuming all pricing paramaters remain unchanged. Apple’s Theta is 1.53 compared with Roche’s 1.36, indicating broadly similar time decay profiles. This suggests comparable product characteristics, likely driven by autocallable structures approaching observation dates or products with increasing probability of early redemption. Apple’s slightly higher Theta may indicate a greater concentration of near-call products or stronger in-the-money positioning.

A key point of divergence appears in Vanna. Roche has a position Vanna of 9.85 compared with 3.08 for Apple, meaning Roche has more than three times the Vanna exposure despite Apple having higher Delta and Vega. This is an interesting result, meaning that Roche’s Delta is more sensitive to changes in implied volatility. This may reflect products that are closer to barriers or strike levels, or a higher proportion of structures where volatility shifts materially affect payoff probabilities. In contrast, Apple’s lower Vanna implies a more stable relationship between Delta and volatility, even though its absolute exposures are larger.

Overall, several clear contrasts emerge between the two underlyings. Apple carries higher directional and volatility exposure, with larger Delta, Vega and Gamma, making it more sensitive to both price and volatility movements. Roche, on the other hand, exhibits stronger second-order cross-sensitivity through Vanna, indicating that volatility changes have a larger indirect impact via Delta. Time-related sensitivities such as Theta and Charm are broadly similar, suggesting comparable maturity profiles and autocall profiles.

In conclusion, although Apple and Roche represent similarly sized parts of the structured products universe, their risk profiles are quite different. Apple shows higher sensitivity to market movements, with stronger first-order exposures such as Delta and Vega, while Roche has lower direct exposure but greater sensitivity to interactions between volatility and Delta. As seen in earlier analyses, looking at the full set of Greeks gives a clearer understanding of how market movements affect structured product portfolios, particularly for single stock underlyings where product design and timing is important.

This article was generated from data coming from the SRP Greeks application, a service which provides aggregate Greeks data on important underlyings in structured product markets. The product set is taken from the SRP database and all calculations and analytics are powered by FVC. For more information contact www.structuredretailproducts.com.