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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 g, 100 ® ® 90 2 70 2 80 i] i] 27° gE 50 © 540 8& 40 a3 mS 30 o = 30 B 20 2 = 10 g g | £ HC) gfeano+sagmmanans susewasonssesicunnunnnyeineveumsnuwuneniesuseencess = 10 = uw -20 PRNNRKRAARAARARBH SD SB eoFrFrFSBBSBESESSLLARA BS 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 AJB 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% 08 2M 25d-Put — KOSPI2 (16.0%) NIFTY (14.4% ae 99% a Kz FS ~ 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 Oo m7 Oo t+ +t TO OW MH OO OK Re * mid level implied vol ew» A&A & wa FH ee He EE BH oS os SOGoGST OO G&S OB S > BY > BH > BY FEY 78 Source: BofA Merrill Lynch Global Research Bankof America 22 Global Equity Volatility Insights | 06 June 2017 Merrill Lynch HOUSE_OVERSIGHT_023596