Chart 29: The ratio of AS51 3M ATM IV over HSCEL is at its 4-yr high Table 8: Index pairs‘ with the highest implied vol ratio vs their histories
(Daily data from 1-Oct-12 through 16-Jun-17) (data as of 16-Jun-17) m= AS51 BMATM Vol «= == HSCEIATMvol = Vol ratio Index A Index B AIB Implied Ratio 4-yr A5Y% 0.90 (Implied vol} — (Implied Vol} Vol ratio —_ percentile ° ‘ 3M ATM AS5 8% HSCEI (15.0% 0.79 100% 40% 6M ATM KOSPI2 (13.2%) HSCEI (17.1% 0.77 98% 359% 2M ATM KOSPI2 (14.6%) NIFTY (14.0%) 1.04 98% ‘0 SB 30% 3M 25d-Put AS51 (13.8% HSCEI (16.3% 0.85 99% 2 2 6M 25d-Put KOSPI2 (14.4%) HSCEI (18.7% 077 98% 2 25% & 2M 25d-Put = KOSPI2 (16.0%) HSCEI (20.5% 0.78 99% E 20% 3M 25d-Call AS51 (10.9% HSCEI (15.0% 0.73 99% 15% 6M 25d-Call KOSPI2 (12.8%) NKY (14.4%) 0.89 98% 40% 2M 25d-Call KOSPI2 (14.2%) NIFTY (12.2%) 1.16 98% ° Source: BofA Merrill Lynch Global Research 5% * Index universe includes the ASX200, HSCEI, HSI, KOSPI2, NIFTY, NKY, TWSE, SPX and SX5E a a oo a a a ee mid level implied vol ise] iss} o oO D o ise] D o ise] D o ise] oO > Sao 7 SYN FT EH FEY FOS Source: BofA Merrill Lynch Global Research 20 Global Equity Volatility Insights | 20 June 2017 Bankof America
Merrill Lynch
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