Precious metals markets have experienced unprecedented volatility at the beginning of 2026, with and displaying swings not seen in decades. Short-term realized volatility in silver has reached extreme levels, while gold has shown sharp multi-directional moves after touching record highs. The environment has led implied volatility to multi-decade peaks across the complex, creating rich premiums for option sellers. Strategies that systematically sell volatility-primarily through collecting option premiums-can be packaged into structured notes, offering the potential for enhanced yields while defining risk parameters upfront.
Phoenix Autocallable Note on Gold, Silver, and Platinum
One widely used structure is the Phoenix autocallable note, which tracks the worst-of performer in a basket of ETFs on gold, silver, and . The basket benefits from relatively low correlation among the three metals, improving coupon potential compared with more correlated combinations. The note features a 65% capital barrier observed only at final maturity and quarterly autocall observations starting after the first quarter. Autocall triggers if the worst performer stands at or above 100% of its initial level, redeeming the note at 100% of principal plus any accrued coupons.
Coupons carry a memory effect and are paid when the worst performer is above the 65% coupon barrier on a quarterly observation date; missed coupons accumulate and pay later once the condition is met. Indicative annual coupon rates vary by tenor: approximately 30% for a one-year note, 25% for two years, and 22% for three years. In favorable scenarios, early autocall can deliver the full coupon pro-rata, while memory ensures accumulated payments in recovery scenarios. In adverse cases where the worst performer ends below 65%, principal repayment reflects the negative performance of that asset with no coupons paid. 
Source: Bloomberg
Source: Bloomberg
Partial Capital Protection Note with Memory Effect
A more conservative alternative offers 90% capital protection at maturity combined with a memory coupon feature. This two-year note tracks the worst-of silver and gold ETFs, with semi-annual observations. Coupons pay when the worst performer exceeds a predefined trigger level, with missed coupons accumulating for later payment. Three versions provide different risk-reward profiles: a 100% trigger yielding approximately 17% annually, a 110% trigger offering around 21%, and a 120% trigger delivering up to 27%. The structure suits investors with a moderately bullish view on precious metals, willing to accept a maximum 10% principal loss in exchange for high conditional income. The memory mechanism enhances attractiveness by rewarding eventual recovery even after interim breaches of the trigger.
Catapult Note with Leveraged Upside Participation
For investors with strongly bullish convictions, the one-year Catapult note provides 90% capital protection while offering leveraged upside. The underlying basket comprises gold, silver, and aluminum, with a single interim observation after six months. If the worst performer stands above 100% at that point, the note redeems early at 110% of principal, equivalent to a 20% annualized return. Otherwise, it continues to final maturity. At maturity, repayment follows a tiered schedule: 90% if the worst performer falls below 90%, performance-equivalent repayment between 90% and 100%, and 100% plus twice the excess return above 100% if the worst performer exceeds its initial level. This uncapped leveraged participation makes the structure particularly compelling in scenarios of sustained commodity strength, limiting downside while amplifying gains in sharp upward moves.
Aligning Structures with Investor Market Views
These notes allow precise tailoring to different outlooks on precious metals. Moderately optimistic investors may prefer the partial protection memory note for steady conditional income with limited downside. Strongly bullish clients seeking asymmetric payoff can opt for the Catapult’s leveraged upside. The classic Phoenix autocall appeals to those comfortable with higher risk for potentially earlier and higher yields. High current volatility supports attractive indicative terms across all structures, though conditions remain sensitive to market levels and can shift rapidly.
