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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 ABY 0.90 (Implied vol} (Implied Vol} Volratio —_ percentile ° ‘ 3M ATM AS5 8% HSCEI (15.0% 0.79 100% 40% 6M ATM KOSPI2 (13.2%) HSCEI (17.1% 077 98% 9359, 2M ATM KOSPI2 (14.6%) NIFTY (14.0%) 1.04 98% ‘0 = 30% 3M 25d-Put AS51 (13.8%) HSCEI (16.3% 0.85 99% 2 i) 6M 25d-Put KOSPI2 (14.4%) HSCEI (18.7% 077 98% 2B 25% & 2M 25d-Put KOSPI2 (16.0%) HSCEI (20.5% 0.78 99% a = 9 2 3M 25d-Call AS51 (10.9%) HSCEI (15.0% 073 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 eee rtrirtee222 2 2558 * mid level implied vol [ el = oo: Cc Pad o: [am > Qa anal > oe [ el = ise] iss} o [ss] oO o oO ise] o ss) ise] o [ss] ise] > SP Yn FO SYN FO SEWMW 7D EF YnN FO Source: BofA Merrill Lynch Global Research 20 Global Equity Volatility Insights | 20 June 2017 Bankof America Merrill Lynch HOUSE_OVERSIGHT_014991