TWSE 3M 25d-Call IV over SPX is near its 4-year highs Table 6 lists Asian index pairs with the highest IV ratio vs. their 4-year histories. For instance, the ratio of TWSE 3M 25d-Call vol over SPX is near its 4-year highs.
Chart 38: The ratio of TWSE 3M 25d-Call IV over SPX is near its 4-yr Table 6: Index pairs‘ with the highest implied vol ratio vs. their histories
highs (Daily data from 1-Jan-11 through 5-Aug-16)
(data as of 5-Aug-16)
——IWSE 3M 25¢-Call vol -—=SPX 3M 25d-Call vol - ——=Vol ratio Index A Index B AIB Implied — Ratio 4-yr 409% (Implied vol} — (Implied Vol} Volratio —_ percentile ° 3M ATM TWSE (14.6%) SPX (11.8% 23 97% 35% 6M ATM SXBE (20.0%) SPX (13.7% 46 96% 12M ATM SX5E (20.2%) SPX (15.4% 31 98% 30% s 5 3M 25d-Put TWSE (17.1%) = SPX (15.5% 10 97% 3 20% 6M 25d-Put TWSE (17.8%) SPX (17.9% 0.99 93% 220% 12M 25d-Put SXDE (24.2%) — SPX (19.9% 22 96% 15% 4 3M 25d-Call TWSE (13.9%) SPX (9.9%) A 97% 6M 25d-Call SX5E (17.5%) SPX (11.3% 54 97% 10% 12M 25d-Call SX5E (18.2%) SPX (12.8% A? 98% 5% Source: BofA Merrill Lynch Global Research —- re rE NNNmMmMOmMmtttnNMnMono * Index universe includes the ASX200, HSCEI, HSI, KOSPI2, NIFTY, NKY, TWSE, SPX and SX5E & = a & 3 a & 3 a & = a & 3 a & > * mid level implied vol PF SnNrS NFS MWFSEMWFEBSE NOE
Source: BofA Merrill Lynch Global Research. Daily data from 71-Jan-11 through 5-Aug-16
Bankof America Merrill Lynch
Global Equity Volatility Insights | O09 August 2016
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