Chart 3: Stress in commodities fell the most last week (driven by a drop Chart 4: EM and the US are the least stressed GFSI regions globally
in crude oil vol) while stress in equities rose marginally (led by equity 0.02
skew) 0.05 0.02
02 0.00 — ‘ -0.05 0.0 -0.10 5% -0.15 ~ -0.20 -0.4 -0.25 06 -0.30 ~ 0.35 -0.8 -0.40 40 EM Europe Japan US Equities Credit Rates FX Commodities mLatest stress (16-Jun-17) | © Change in stress mLatest stress (16-Jun-17) © Change in stress Source: BofA Merrill Lynch Global Research. Iwk change (9-Jun-17 to 16-Jun-17).
Source: BofA Merrill Lynch Global Research. 1wk change (9-Jun-17 to 16-Jun-17).
Chart 5: Top 10 movers in stress (1-week abs chg %-ile vs history*) Chart 6: Global volatility & credit spread stress in the GFSI me Stress fall m Latest stress (16-Jun-17) = Change in stress gam Stress rise
_ 100% 792% 3 0.01 0.01 o : 2 90% 83% 82% 82% 81% 80% 799 79% 77% 0.2 = 80% 67% -0.4 > -
J 9
m GONG 1.0 ‘am 50% -1.2 irs}
a
cs]
S
2
a Ss fom = § 2 § 5 $a Fx 5 238 1.4 6 5 8 5 632,93 & 5BPe 2 5 2 3S 8 3B 8 Q <2) > 2 oY EBVBwAA aEs = = = > = a 2 2 > & co) co) ee o) a 6 2X >2P aM FZ ope >< 2 = 8 2 Pa > mo SHU LfOsnr 5 PELOS = uw a) 5 > a= a=] — ° a a 3 a oOo se8 = = > {o) & fo) i nn 5 5 ums uw # ar = 3 a co) <x ce) = co) Source: BofA Merrill Lynch Global Research. * %-ile of weekly mave in stress vs all historical weekly Source: BofA Merrill Lynch Global Research. 1wk change (9-Jun-17 to 16-Jun-17). moves (earliest 3-Jan-00). Bar colours represent rise (red) or fall (green) in stress. 1wk change (9-Jun- 17 to 16-Jun-17). Bankof America = . dee toes z Global Equity Volatility Insights | 20 June 2017 Merrill Lynch quity plnstents | 28) a
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