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Table 10: Summary of closed trades as of 19-Jun-17 Open Trade Description Date Long 2x SPX Aug-17 2200 puts, short 1x SPX Aug-17 2350 94 _Feh.47 put Own Nifty Mar17 strangle heading into 5 events 23-Jan-17 Long XLF Jun17 24 call, short SX7E Jun17 120 call 2-Dec-16 Buy Tencent Mar-17 105% calls 27-Feb-17 Buy HSCEI Mar17 105% call contingent SPX <2200 24-Oct-16 Buy HSCEI Mar17 9600 put vs short Sep 17 8200 put 47-Jan-17 Buy HSCEI Mar-17 1x1.5 10800-11200 call ratio 21-Feb-17 Long SXSE Apr? 3300 call, short SXSE Dec17 3450 call 30-Jan-17 Short 1x SX5E May17 3350 calls, long 2x SX5E May17 21-Feb-17 3450 calls Buy an SPX Apr-17 95% put conditional on US 10Y CMS> 44-Nov-16 2.5% at maturity Long SPX Apr17 2300 call, short SPX Dec17 2400 call 30-Jan-17 Long VIX May 16 / 22 call spread vs. short VIX Apr 13 put 21-Feb-17 Short SPX 21-Apr-17 vs. long 28-Apr-17 2325 straddle pair 6-Mar-17 Buy SXSE 28-Apr-17 3600 call 3-Apr-17 Buy Unicom Apr17 105-115% call spread 21-Feb-17 Buy Sands China Apr17 105-115% call spread 21-Feb-17 Buy Galaxy Apr17 105-115% call spread 21-Feb-17 Buy SX5E Dec19 2500 put, sell SXSE Dec18 2500 put 27-Sep-16 Buy KOSPI2 May17 103% calls 13-Mar-17 Buy KOSPI2 May17 97/103% strangle 13-Mar-17 Buy NKY Jun17 20750 call, sell 1-1.3x 18750-17750 put ratio 06-Mar-17 Long V2X May 26-32.5 call spread and short Apr 22 put 24-Feb-17 Buy 1x contract of SX5E May17 3550 calll, sell 5x contracts of V2X May17 16 puts 3-Apr-17 Long GLD May 123 call vs. short May 130 call 24 -Feb-17 Buy 1.5x EFA Jun1? 103% calll, sell 1x EFA May17 ATM call ¢. nigp.47 Buy SPX Top50 volatility dispersion 27-Feb-16 Long HSI vs. SPX May-17 90% put switch 06-Feb-17 Buy the Nifty May17 95/105% strangle outright 20-Mar-17 Long HSBC May-17 65/70 call spread 3-Apr-17 Buy NKY Jun17 110% Call 02-Dec-16 Buy TPINSU Jun17 110-125% Call Spread 02-Dec-16 Buy TPNBNK Jun17 110-125% Call Spread 02-Dec-16 Buy NKY Jun17-Jun18 18,500 strike FVA 02-Dec-16 Buy an EWZ Jun-17 40 call conditional on SPX<2200 at 24-Oct-16 expiry Buy SPX Jun17 95% put contingent on US 5Y CMS > 2.15 5-Dec-16 Buy 1x Jun-17 ATM XLF call, sell 1.8x Jun-17 ATM worst-of 5-Dec-16 calls on XLP and XLU Buy Jun-17 ATM R2K- value outperf call over EEM, 3-Dec-16 contingent on EEM >95% Buy QQQ Jun17 132 call , sell XLF Jun17 25 call 20-Mar-17 Open Level 0.10% 1.50% 0.74% 1.19% 1.20% -0.05% 0.57% -0.60% 0.00% 0.78% -0.80% $0.35 0.50% 0.26% 1.65% 2.00% 2.10% 3.97% 0.63% 1.38% 0.00% €0.20 0.0% 0.8% -0.15% 14.7% 0.07% 1.20% 0.95% 1.83% 3.30% 3.20% 21.5% 1.70% 1.04% 2.10% 2.30% 0.57% Close Level 0.01% 3.96% -5.88% 2.31% 0.00% -0.78% 0.00% -0.18% 0.60% 0% 0.71% 0.75 06% 0% 4.25% 6.97% 0.0% 9% 5.37% 5.37% 0.00% €0.00 -1.63% 0.00% -0.20% 11.5% 0.00% 0.00% 4.33% 0.00% 0.00% 0.00% 19.1% 0% 0% -12.90% 0% 4.73% Close Date 17-Mar- 20-Mar- 27-Mar- 27-Mar- 30-Mar- 30-Mar- 30-Mar- 21-Apr- 24-Apr- 21-Apr- 21-Apr- 19-Apr- 21-Apr- 28-Apr- 27-Apr- 27-Apr- 27-Apr- 7 7 a i i i 7 7 7 7 7 8-May-17 8-May-17 8-May-17 15-May- 19-May- 19-May- 19-May- 19-May- 30-May- 29-May- 25-May- 29-May- 9-Jun-17 9-Jun-17 9-Jun-17 9-Jun-17 9-Jun- 9-Jun- 9-Jun- 9-Jun- 9-Jun- Aa ON NNN ASN ANS 7 7 Rationale SPX has traded range bound since inception of the trade, still the carry has been minimal, close out or roll the position nwind the option post the state election event and Close position The call vs call relative value trade is now riskier given the potential reversal in US reflation trades and the potential for European equities to rally in a French election market-favourable outcome. Unwind the position for the Tencent earnings Option expired; HSCEI was up 5.1% but the SPX ended above 2200 Unwind post Mar-17 expiry; the short Sep 17 put helped reduce the hedging cost Option expired; HSCEI stayed flat and failed to rally above the 10800 call strike Apr17 option expired so we unwind the entire trade as planned Unwind before May expiry following the large 4% SX5E move on 24-Apr, given lack of near term catalysts In Nov-16, we recommended remaining long equities with cheap hedges. The hedge expires out of the money, while SPX has returned 8.7% for the period The reflation trade has slowed down and the market is in a holding pattern. The long Apr-17 call expires in-the-money, and the short Dec-17 call still has time value The call spread still has value due to elevated vol and vol-of-vol and we collect the premium on the expired short OTM put The trade benefited from the rise in post-event volatility relative to pre-event volatility The option expired Single stock option expired in-the-money despite a 1.4% decline in the HSCEI Single stock option expired in-the-money despite a 1.4% decline in the HSCEI Single stock option expired in-the-money despite a 1.4% decline in the HSCEI SX5E has rallied 23.3% since we entered the trade and European political risk abated for now Option expired; KOSPI2 rallied 8.37% over the period Option expired; KOSPI2 rallied 8.37% over the period Closing the trade post French election; option strikes remain far from the spot level Expired Expired The hedge expired out-of-the-money as S&P 500 remained supported EFA rallied strongly leading into the second round of the French elections but subsequently stalled Expired Option expired; Both HSI and SPX puts expire out-of-the-money Option expired; Nifty failed to move more than the straddle huddle (5%) Option expired; HSBC is up 6.75% on the back of a strong seasonal rally Closing the trade on expiry; Japan market rallied but options remain out of the money Closing the trade on expiry; Japan market rallied but options remain out of the money Closing the trade on expiry; Japan market rallied but options remain out of the money Closing the trade on Jun17 expiry; Global volatility collapsed in 1H2017 Recent political turmoil in Brazil surrounding Temer's presidency caused a slide in the Brazilian equity market and the BRL In Dec-16, we recommended remaining long equities overlayed with cheap hedges. The hedge expires out of the money, while SPX has returned 10.2% for the period Following the US election and the initial move in rates, XLF rallied and subsequently stalled. In the same period, the defensive sectors played the catch-up trade Concerns over US tax reform implementation caused small-caps to underperform relative to other equity markets, including EM The trade captured the recent Tech sector outperformance in a period when Financials lagged driven by lower rates Source: BofA Merrill Lynch Global Research. Prices reflective of most recently available data which may be delayed in some cases. “Trade Value” represents current valuation of trades initiated on the “Open Date”. Bankof America Merrill Lynch Global Equity Volatility Insights | 20 June 2017. 25 HOUSE_OVERSIGHT_014996