GS Simonet US Long Only Corridor

GS Simonet - US Long Only Corridor 18 Sep 2026 Adrien Simonet · Goldman Sachs · FICC & Equities 18 Sep 2026

Long Only Corridor Variance Swaps 18 Sep 2026.

Trade rationale: GS likes to sell the Corridor Variance Swaps as the desk buys downside volatility from the Autocall flow.

Trade implementation: Corridor variance swaps best match the vega supply coming from structured retail products. Realized variance accrues only when spot is within a pre-defined strike range.

Structure overview: (1) variance swap; (2) corridor on the variance swap, with realized volatility accruing only while the stock is within the corridor bounds; and (3) a portfolio of corridor variance swaps.

Structure terms: maturity 17 Sep 2027; vega notional USD 1mm; corridor bounds 70%–120% of initial spot; cap 2.5x; convention T,T-1; strike offer 53.21.

Max loss: the maximum loss would occur, for example, in a scenario where all stocks realize variance at zero.

Basket composition: ALAB 3.36%; APP 6.85%; ASTS 3.45%; CEG 5.32%; COIN 2.99%; EL 1.69%; FUTU 1.40%; GEV 7.16%; IONQ 7.00%; JD 7.19%; KSPI 1.81%; MGM 1.04%; NET 2.74%; NVDA 7.19%; NVO 7.19%; PDD 2.73%; PLTR 7.19%; RDDT 3.00%; ROKU 1.35%; SHOP 3.18%; SOFI 7.19%; TSLA 7.19%; WULF 1.79%. Total weight 100%; weighted long strike 53.21.

Full-tenor point-to-point backtested payout: payout is expressed in volatility points at expiration. Variance swap strikes remain constant at the levels shown above; the chart ignores stocks before their IPO date and rebalances stock weights using available historical realized data.

Historical 12-month implied volatility: the basket’s historical evolution uses ATMF volatility scaled to match the current strike and weighted by vega notional. The payout chart ignores stocks before their IPO