Volatility and Derivatives: VIX, 0DTE and Structured Notes — 2026-09-06

Top developments

US Skew Index Hits 150 Amid VIX Drop

The CBOE S&P 500 PutWrite Index (or related Skew metrics) reportedly hit 150 while the VIX dropped to approximately 14, signaling a disconnect between headline volatility and tail-risk pricing. This phenomenon is attributed to heavy call selling by investors seeking yield in a low-volatility environment, which drags down implied volatility levels. Strategists warn this complacency leaves portfolios exposed to sudden downside shocks, recommending specific hedges for large accounts.

Korean ELS Issuance Falls Short of Targets

South Korea's Korea Investment Securities launched a large-scale ELS public offering worth over 60 billion KRW but only issued approximately 14.7 billion KRW, achieving less than 20% of its target. Most of the 10+ products failed to meet their recruitment limits, indicating a sharp decline in retail investor appetite for structured notes despite previous high demand for Samsung Electronics and SK Hynix-linked products. This follows a month where retail investors had purchased 3.5 trillion KRW worth of ELS, suggesting a rapid sentiment shift or saturation.

Japanese Nikkei VI Fluctuates on Rate and Equity Moves

The Nikkei 225 Volatility Index (Nikkei VI) has shown mixed signals, with reports of it decreasing due to easing concerns from lower interest rates and higher stock prices, followed by periods of increase due to heavy upside resistance in the Nikkei average. On September 4, the index was reported to have fallen as the Nikkei started higher, driven by gains in SoftBank Group and Furukawa Electric. However, earlier in the week, the index rose significantly as the Nikkei faced selling pressure, highlighting the sensitivity of Japanese vol to short-term equity trends.

Regulatory Push for Non-Deposit Product Accountability in Korea

South Korean banks are implementing stricter accountability measures for non-deposit products like DLFs and ELS to prevent a recurrence of past scandals like the "Hong Kong ELS" incident. New guidelines will clarify responsibilities between manufacturers and sellers from the product selection stage onwards, aiming to strengthen consumer protection. This regulatory tightening comes as banks continue to issue these products, with Kyobo Securities recently launching a KOSPI 200-linked ELB (Equity-Linked Bond).

Local view

In South Korea, local media such as Kyungin Broadcasting and Seoul Economic Daily are focusing heavily on the cooling of the structured product market. The sharp shortfall in Korea Investment Securities' ELS issuance is being interpreted as a sign that retail investors are becoming more cautious after previous losses or are rotating into other assets. The narrative is shifting from the "high coupon temptation" of Samsung/SK Hynix-linked notes to a more skeptical view of issuer reliability and product complexity.

In Japan, Zaikei Shimbun and Investing.com Japan are tracking the Nikkei VI's reaction to macroeconomic factors. The commentary suggests that while the Nikkei VI has eased, the underlying anxiety regarding the Nikkei's ability to break through resistance levels remains. There is also noted interest in the mechanics of derivative-led drops, with analysts examining how futures and options flows impact spot price volatility during downturns.

Context & numbers

• US Volatility: The VIX is reported near 14, while the Skew Index is at an elevated 150.
• Korean ELS: Korea Investment Securities issued ~14.7 billion KRW against a 60+ billion KRW target. Previous month's retail ELS purchases totaled 3.5 trillion KRW.
• Japanese Volatility: Nikkei VI movements are tied to Nikkei 225 index performance; recent sessions saw the index rise 284 yen at the open, contributing to a VI drop.
• Dealer Positioning: Gamma exposure remains a key driver, with dealers generally in positive gamma territory, which tends to compress volatility by buying dips and selling rallies.

On the radar

• Korean Regulatory Changes: Monitor the implementation timeline for the new liability rules on non-deposit products announced by Maekyung Ilbo.
• Japan's Nikkei Options: Watch for shifts in open interest for Nikkei 225 options, particularly around key strike prices like 50,000 and 60,000 yen, where significant put/call positioning has been reported.
• US Term Structure: Keep an eye on the VIX term structure; if the front-month VIX remains suppressed while longer-dated vols rise, it may signal a buildup of stress not yet priced in the spot index.