Chart 45: We estimate that structured product issuers are currently long Chart 46: Structured product issuers are currently long ~US$89mn of USS$10mn of KOSPI2 vega HSCEI vega 90 ‘ KOSPI2 Autocall Vega Outstanding Profile 110 HSCEI Autocall Vega Outstanding Profile g 80 3, 100 ® ® 90 2 70 2 80 B= 50 $e 50 © & 40 BE 40 ag BS 30 o —30 a 20 L 4 = 10 £ Ss 7 S10 aeensreunsnnnaneesssenseneaeennesoeaesenenneaemesennaeeneeaesenans = -10 | na a iri) -20 PRNNKRAAKAARAR BH SD SB eoFrFF BSBSESESSLSLARA SB KOSPI2 Spot Level HSCEI Spot Level Source: BofA Merrill Lynch Global Research. Source: BofA Merrill Lynch Global Research. KOSPI2 3M ATM IV over SPX is at its 4-year high Table5 lists Asian index pairs with the highest IV ratio vs their 4-year histories. For instance, the ratio of KOSPI2 3M ATM IV over SPX is at its 4-year high. Chart 47: The ratio of KOSPI2 3M ATM IV over SPX is at its 4-yr high Table 5: Index pairs* with the highest implied vol ratio vs their histories (Daily data from 1-Oct-12 through 02-Jun-17) (data as of 02-Jun-17) ——KOSPI2 3MATMvol «=-—==SPX3MATM vol —=—=Vol ratio Index A Index B A/B Implied Ratio 4-yr 25% 60 (Implied vol} (Implied Vol} Volratio —_ percentile ° 3M ATM KOSPI2 (12.8%) SPX (9.4%) 36 100% 50 6M ATM KOSPI2 (13.6%) NIFTY (11.8% 16 99% 20% 40 2M ATM KOSPI2 (14.8%) NIFTY (13.8% 07 99% ; ; s 30 3M 25d-Put KOSPI2 (13.6%) HSCEI (16.4%) 0.83 99% > 209 6M 25d-Put KOSPI2 (14.7%) NIFTY (12.5% AT 99% B 15% 3 2M 25d-Put — KOSPI2 (16.0%) NIFTY (14.4% 1 99% 2 A100 ~ .00 3M 25d-Call KOSPI2 (12.6%) SX5E (11.6%) 09 100% 10% 0.90 6M 25d-Call KOSPI2 (13.4%) NIFTY (10.8% 25 100% ; 2M 25d-Call = KOSPI2 (14.6%) NIFTY (12.0% 21 100% 0.80 Source: BofA Merrill Lynch Global Research 5% 0.70 * Index universe includes the ASX200, HSCEI, HSI, KOSPI2, NIFTY, NKY, TWSE, SPX and SX5E
oOo 7m Oo + +t TO OW MH OO OK Re * mid level implied vol eé s» & &¢ wae eF Hee HH EGE BH so ST os SOG PK OG SO GB S > BY 7 BH > BH FEY 78
Source: BofA Merrill Lynch Global Research
Bankof America
22 Global Equity Volatility Insights | 06 June 2017 Merrill Lynch
HOUSE_OVERSIGHT_023596