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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 highs (Daily data from 1-Jan-11 through 5-Aug-16) Table 6: Index pairs’ with the highest implied vol ratio vs. their histories (data as of 5-Aug-16) ——WSE 3M 25d-Call vol ~-———=SPX 3M 25d-Call vol ———=Vol ratio Index A Index B AIB Implied Ratio 4-yr A09% (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% e909; 12M 25c-Put SX5E (24.2%) SPX (19.9% 22 96% E ‘0 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 ° —- rer NNnNmMmmrmtttnwMnnwMono * Index universe includes the ASX200, HSCEI, HSI, KOSPI2, NIFTY, NKY, TWSE, SPX and SX5E ¢xda ce A eC HRA dE HoA te HAY SH * mid level implied vol o FC OD o © oo © © o o © PSN FS YNOFSESMOFSEMNWFEYNFGDE 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 HOUSE_OVERSIGHT_025996 19