MARKET COMMENTARY Market Volatility Bulletin "Brexit" Deja Vu? FX vs. Equity Vols Diverge Ahead of Election Link to Report: Market Volatility Bulletin WHAT STAN DS OUT: • Similar to what we saw heading into the "BrexiC referendum earlier this year. equity and FX implied vols have diverged as we approach the Nov 8th us presidential election. While USDMXN 2M implied vol has jumped to a 4-year high in reaction to polls showing Trump in a close race with Clinton. equity vols arc pricing in very little election risk. See charts below for comparison. • For ?BrexiC. equity vols didn't react until two weeks before tlx: referendum (and even then, it still underpriced the risk of the "leave vote). Will we sec a similar pickup in equity volatility this time as the election date approaches? Historically. we've found October to be the most volatile month of election season and the VIX has gone up an average of 3.5 pts in the month leading up to the election. Scc pg 14 for wadable election basket ideas. Chart: EX vs. Equity Vols Now vs. Before "Bruit" Now 30 25 20 15 cr w 10 5 0 SPX 2M Imp Vol —USDMXN 2M Vol Jan-12 Jan• 13 Jan -14 Jan•15 Jan-16 25 <20•••• FX vol 15 O *a*. Equity vol CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0057692 CONFIDENTIAL SDNY_GM_00203876 EFTA01366176