Investment Idea: Two Ways to Capture Oil Market Volatility Using Twin Win Structures
- Daniel Tittil
- Mar 12
- 5 min read
Energy markets are once again reminding investors how quickly things can change.
In recent weeks, crude oil prices briefly surged toward $120 per barrel before retracing sharply below $90. Moves of this magnitude over short time periods highlight the fragile balance between supply disruptions, geopolitical tensions, and global demand.
Events affecting key energy transit routes such as the Strait of Hormuz, which normally carries a significant share of global oil supply, can trigger large price swings in either direction.
For investors, this creates an interesting challenge.
Oil could move significantly higher if supply disruptions persist. At the same time, prices could fall sharply if geopolitical tensions ease or supply chains normalize.
In other words:
large price movements are likely, but the direction is uncertain.
This type of market environment creates opportunities for a structured investment strategy known as a Twin Win note.
In this article, I’ll explain:
• What a Twin Win note is
• Why the structure is unique
• Why the current oil market environment makes it interesting
• Two different Twin Win structures investors can consider
• How these investments can fit into a broader portfolio
The factsheets for both structures referenced in this article are attached for readers who want to review the technical details.
What Is a Twin Win Note?
A Twin Win note is a structured investment designed to generate returns when the underlying asset moves significantly in either direction.
Most investments require investors to be correct about direction.
If you buy a stock, you need it to go up. If you short a stock, you need it to go down.
Twin Win structures work differently.
Instead of focusing on direction, they focus on movement.
If the underlying asset rises meaningfully, investors can profit.
If the underlying asset falls meaningfully, investors can also profit.
This means the strategy benefits from volatility itself rather than requiring investors to predict which direction the market will move.
Why This Structure Works Well for Oil Right Now
Oil markets are particularly sensitive to geopolitical developments.
Recent events have already demonstrated how quickly supply disruptions can move prices. Shipping disruptions alone can remove millions of barrels per day from global supply, while diplomatic developments can rapidly reverse those moves.
As a result, investors today are facing a market where:
• oil could rise sharply
• oil could fall sharply
• volatility is likely to remain elevated
Trying to predict the exact direction of oil prices in this environment is extremely difficult.
But predicting continued volatility is far more reasonable.
That is exactly the type of environment where Twin Win structures can be effective.
Twin Win Structure #1: Capital Protected Exposure
The first structure is a 100% principal protected Twin Win note linked to Brent crude oil.
This structure is designed for investors who want exposure to oil volatility while preserving their capital at maturity.
Key characteristics include:
• Underlying: Brent Crude Oil
• Maturity: 24 months
• Principal protection: 100% at maturity
• Participation: 100% of the absolute price movement in oil
• Barrier: ±40% from the starting level
• Rebate if barrier breached: 2%
Under this structure, the investor receives a return equal to the absolute price movement in Brent oil over the life of the note, provided the ±40% barrier is not breached.
For example:
If oil rises 30%, the investor earns 30%.
If oil falls 30%, the investor also earns 30%.
If oil moves beyond the ±40% barrier during the life of the note, the investor still receives 100% of their principal plus a small fixed rebate at maturity.
This structure effectively allows investors to benefit from volatility while maintaining capital protection.
Twin Win Structure #2: Higher Yield with Conditional Capital Risk
A second structure offers a different risk/return profile.
This investment is a 12-month Twin Win Autocall linked to the WTI crude oil future (CL1).
Unlike the capital protected structure above, this version offers higher potential income, but introduces conditional capital risk if oil falls significantly.
Key characteristics include:
• Underlying: WTI Crude Oil Future (CL1)
• Tenor: ~12 months
• Autocall trigger: 100% of initial level observed quarterly
• Coupon: 22.8% per year (5.7% per quarter) with memory effect
• Participation: 100% of upside or downside movement from strike
• Downside barrier: 63% of the starting level
• Upside cap: 120% of initial level
This structure introduces several additional mechanics.
Autocall Feature
If oil is at or above its initial level at one of the quarterly observation dates, the note can redeem early and investors receive the accumulated coupon.
The annualized coupon rate is 22.8%, paid quarterly with a memory feature.
Twin Win Payoff at Maturity
If the note is not called early, the Twin Win feature applies at maturity.
If oil finishes above 63% of its initial level, investors receive the absolute performance of oil, whether it rises or falls.
However, returns are capped at 20% if oil rises above 120% of its starting level.
Capital Risk Scenario
The tradeoff for the higher coupon is the downside barrier.
If oil falls below 63% of its starting level, capital becomes exposed and investors receive a redemption amount equal to the negative performance of oil.
In extreme scenarios, this could result in significant capital loss.
Comparing the Two Twin Win Structures
Both structures express the same macro idea: oil volatility.
However, they do so with very different risk profiles.
Capital Protected Twin Win
Pros
• Full principal protection at maturity
• Exposure to volatility in both directions
• Simpler payoff structure
Cons
• Lower potential return compared with riskier structures
• Barrier event limits upside participation
Twin Win Autocall
Pros
• High coupon potential
• Shorter maturity
• Ability to benefit from volatility
Cons
• Capital at risk below the barrier
• Returns capped on the upside
• More complex structure
Where These Strategies Fit in a Portfolio
Structured investments like these are typically used as tactical allocations, rather than core portfolio holdings.
For example, investors may want exposure to:
• commodities
• geopolitical developments
• volatility-driven opportunities
But they may not want to take full directional risk in oil markets.
Twin Win structures allow investors to participate in market movements while controlling risk in different ways depending on the chosen structure.
Investors seeking capital preservation may prefer the principal protected version.
Investors comfortable with conditional downside risk in exchange for higher yield may consider the autocall structure.
Final Thoughts
Periods of market uncertainty often create opportunities for creative investment solutions.
Twin Win notes are one example of how structured investments can adapt to changing market conditions.
Rather than forcing investors to predict whether oil prices will rise or fall, these structures allow them to potentially benefit from meaningful movement in either direction.
In volatile markets like energy, that flexibility can be extremely valuable.
The factsheets for both structures discussed in this article are attached (see links above) for readers who would like to review the detailed terms.
Interested in Learning More?
If you are interested in this Twin Win note on oil, or other structured investment opportunities, I would be happy to discuss whether they may be suitable within your portfolio.
You can reach me through the contact page at:
You can also join the mailing list on the same website to receive future educational articles and investment ideas as they are published.
-Daniel Tittil, CFA, CAIA, MSc.
Lead Advisor at WealthwithDaniel.com
Chief Investment Officer at Legacy Wealth Management (Cayman) Ltd.
Portfolio & Wealth Manager, Director at Admiral Capital
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