Goldman Sachs Boomer Candy Yield & Probability Map

Institutional Structured Product Desk ($2.25B Allocation Modeling)
Structuring Controls MATH.JS ENGINE
Payoff & Risk Analytics Desk Real-Time Simulation
Max Investor Return
8.50%
Cap yield via option sale
Barrier Breach Prob
18.42%
Drawdown past buffer
Downside Break-Even
4,420
S&P 500 level (-15.0%)
Institutional Fee Rev
$22.50M
1.0% Structuring Fee
Payoff Profile: Direct Index vs. Structured Note
Direct Index
Structured Note
Polymarket Implied Probability Odds
Call/Auto-Call Success YES
81.58%
Implied odds index closes ≥ strike
Buffer Breach Event YES
18.42%
Implied odds loss exceeds buffer
Embedded Option Yield SPREAD
+3.25%
Yield spread over 1Y Risk-Free
Desk Execution Framing
Structuring $2.25B allocation into S&P 500 Auto-Callable Notes. Selling index call upside caps investor return at 8.50% while funding a 15.0% downside buffer. Math.js normal cumulative distribution yields a 18.42% barrier breach probability over 1.0 year tenor under 16.5% volatility.
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