Autocall Note Explorer
An interactive teaching piece on autocallable barrier notes.
An autocallable note pays a high headline coupon in exchange for taking on equity downside risk. Structure a simplified single-underlier note below and watch the tradeoff play out: a more volatile underlier funds a bigger coupon — and breaches the barrier more often. The initial underlier level is normalized to 100.
- On each observation date, if the underlier is at or above 100% of initial, the note is autocalled: you receive par plus that period’s coupon and the note ends.
- Otherwise, if it is at or above the barrier, you collect the period coupon and the note continues. Below the barrier, that coupon is skipped (unless memory recovers it later).
- At maturity, if never called: at or above the barrier you get 100% of principal back; below it, principal is reduced 1:1 with the underlier (final level 55 → 55% returned).
Structure the note
Changes update the charts instantly.
Each archetype carries an illustrative annualized volatility that drives the coupon.
One knob serves as both the coupon barrier and the downside principal barrier here; real notes often set these at different levels.
Missed coupons are recovered on the next observation date the barrier condition is met.
Illustrative mapping only: coupon = 1.5% + 0.367 × vol. Higher vol → higher coupon. Not a market quote and not a real option-pricing model.
Payoff at maturity
What the note repays if it is never autocalled.
Shows principal redemption plus the final period’s coupon. With memory on, recovered coupons could add more above the barrier.
One simulated path
A random walk (geometric Brownian motion, zero drift) at the selected volatility.
- Coupon paid
- Coupon missed
- Autocalled
Switching underliers replays the same random shocks at the new volatility, so you can see the same scenario amplified or dampened. Re-roll draws a fresh scenario.
Run the distribution
500 fresh simulations at the current settings.
Run the simulation, then switch between the Large-Cap Index and Nvidia to see the tradeoff: the higher coupon comes with a much higher chance of breaching the barrier.