Stock Market’s Roller Coaster Surges and Plunges… The Culprit Is ‘Delta’ [Weekend Money]

Single-stock leveraged exchange-traded funds (ETFs) are being identified as the main culprit behind the increased volatility in the domestic stock market.

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According to Shinhan Investment Corp., when annualizing asset volatility for 2026, the KOSPI recorded 57%. SK hynix and Samsung Electronics showed volatility of 90% and 78%, respectively, while single-stock leveraged ETFs reached as high as 180% and 156%, double that of the underlying stocks.

Wooyeol Park, a researcher at Shinhan Investment Corp., stated, “Volatility exceeding 80% is considered ultra-high and has previously only been observed in thematic stocks such as quantum technology and alternative meat.”

On May 27, 16 single-stock leveraged ETFs were listed simultaneously. Over the one month since listing, these 16 leveraged ETFs traded an average of approximately 10 trillion won per day, amplifying index volatility.

Researcher Park explained, “Even before the introduction of single-stock leveraged ETFs, the KOSPI 200 Volatility Index (VKOSPI) had entered a phase of persistent high volatility, with an average of 53. However, from May 27 to the present, VKOSPI exceeded 81. The peak of VKOSPI during the 2008 financial crisis was 89.3, but on the 9th of last month it surpassed 91.2, setting a new record high. It is now averaging 88.9 per day, indicating a sustained period of high volatility.”

Due to the high weighting of Samsung Electronics and SK hynix in the KOSPI, the impact of single-stock leveraged products on the index is greater in Korea than overseas. Park analyzed, “Even in the U.S., where the single-stock leveraged ETF market is well developed and hundreds of such products are traded, the index weighting of Nvidia—the largest by market cap—was only about 2-3% when leveraged ETFs for the stock were first launched, and is now at around 8%. In contrast, Samsung Electronics and SK hynix together make up about 65% of the KOSPI 200 and nearly half of the MSCI KOREA ETF, so the expansion of volatility in a single stock has a far greater impact on the index here.”

The expansion of leveraged ETFs is driving market concentration through the ‘delta hedging’ process used by market makers (MMs). When stock prices rise, market makers who sell swap contracts to provide liquidity must buy the underlying shares to maintain a neutral position, further fueling the rally; the reverse also holds true. Park explained, “When put option open interest accumulates consecutively at certain strike price levels, a downward move that hits the first strike price triggers pressure that can quickly push the price through the following levels—a phenomenon known as a ‘gamma squeeze,’ which is more likely when gamma exposure (GEX) is negative. The delta required to maintain a neutral position changes dynamically with the price of the underlying asset, and this constant adjustment is what produces market concentration.”

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