Chart 3: Equity stresses fell by the most last week
0.1 0.05 0.03 0.01 0.0 0.1 0.2 03 04 05 06 07 08 0.9
Commodities Credit FX Rates Equities mLatest stress (02-Jun-17) = Change in stress
Source: BofA Merrill Lynch Global Research. 1wk change (26-May-17 to 2-Jun-17).
Chart 5: Top 10 movers in stress (1-week abs chg %-ile vs history*)
Chart 4: Among regions, Japan & US stresses declined the most
aap Stress fall @a@s Stress rise
100% 90% 80% 70%
86% 33% 82% fe} 76% ro,
63% 61% 61% 61% sg9%
%-ile of abs chg in stress vs history*
60% 50% eo? A i= Qa > faa 6 6 88 BSE EDS FAS x x~ €¢2 5 = oe ~ 32045 oo wo wo oD wa anon Os wo — rep) = Oo # rep) oa 2@ En 2 xrReoca Qe ew o = =~ & so 0 2H BD 2 Ge G re) = @ f€e& £ E505 EF 8 5 F oS £ 2 = © G78 Bo £5 & a 2 ar an om wi a 3 oO =
Source: BofA Merrill Lynch Global Research. * %-ile of weekly mave in stress vs all historical weekly moves (earliest 3-Jan-00). Bar colours represent rise (red) or fall (green) in stress. 1wk change (26- May-17 to 2-Jun-17).
0.10 0.00 -0.10 -0.20 -0.30 -0.40
-0.50
EM Europe US Japan
mLatest stress (02-Jun-17) © Change in stress
Source: BofA Merrill Lynch Global Research. 1wk change (26-May-17 to 2-Jun-17).
Chart 6: Global volatility & credit spread stress in the GFSI
mLatest stress (02-Jun-17) = Change in stress
0.4
0.2
0.0 0.2 0.4 -0.6 0.8 -1.0 -1.2 -1.4
0.05 0.03 0.00
FX Vol HY CDS IG CDS
Equity Vol Rates Vol
x a) = ce = > fo) op)
Commodity Vol
Source: BofA Merrill Lynch Global Research. ]wk change (26-May-17 to 2-Jun-17).
Bankof America Merrill Lynch
Global Equity Volatility Insights | 06 June 2017 3
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