Table 10: Statistics on implied, realised, skew and term structure for 3-month and 12-month vols (emerging markets)
10-day realised 12M - 3M term vol spread
EEM US IBOV RDXUSD TOP40 EEM US IBOV RDXUSD TOP40 Current Level 10.4% 13.2% 18.5% 11.0% 24% 18% 11% 2.3% %atile (2yr) 4.2% 3.4% 5.3% 16.6% 14.1% 98.3% 88.1% 90.0% 1Wk Change -0.5% 24% 6.2% 2.3% -0.1% -0.1% 0.3% 0.1% 1Mth Change -31.3% -15.2% 88% -19.6% 15% 11% 0.5% 1.3%
Cash index Current Level 36.62 57,661.14 1,090.44 45 385.74 1Wk Change 1.15% 0.62% 1.72% -1.16% 1Mth Change 786% 11.22% 144% 0.12% Source: BofA Merrill Lynch Global Research 22 Global Equity Volatility Insights | 09 August 2016 (pertain
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