Worst of Autocallable II

2.Theta Analysis
The Autocall Theta Analysis provides some very interesting results.
The analysis was done today morning when the Spot was somewhere close to 4% above strike.
Spot has moved by -1.2% today. And the Gamma plus Postfix Values from this analysis on SAN.MC are almost very close to the actual Delta change on the option.

The methodology adopted:

• A given set of spots was considered for SAN and for TEF. For these spots, the option price was calced for each of the dates from now to the 21st

The Spot sets were taken as

• a) The present Spot on SAN and TEF b) One Percent Bump on SAN c) One Percent Bump on TEF
• a) -2% Bump on SAN and TEF and from there b) One Percent Bump on SAN c) One Percent Bump on TEF
• a) -4% Bump on SAN and TEF and from there b) One Percent Bump on SAN c) One Percent Bump on TEF
• a) -6% Bump on SAN and TEF and from there b) One Percent Bump on SAN c) One Percent Bump on TEF

Point to note is -4% of Spot on TEF behaves most strangely as it is close to strike. The Data might include some noise as at -4% there is no convergence. Unit Deltas were calced but the Dollar delta can easily be calced from fx and notional from Data.

To Confirm, at present spot and at -2% spot, the levels are above autocall strike. At -4% it is just below strike and at -6% it goes below level

Price Change with SAN on Diff Dates with different spot sets:

Price Change with TEF on Diff Dates with different spot sets:

A little less importantly: I studied the theta on TEF as well. The delta on TEF behaves very strangely, I'm not sure it is not purely noise as SAN gives the majority of delta and on margin Delta on TEF behaving wierdly