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This document is page 17 of a Bank of America Merrill Lynch report titled 'Global Equity Volatility Insights' dated June 20, 2017. It contains technical financial analysis, charts, and a table regarding HSCEI-SPX variance swap spreads and volatility data. The document bears a 'HOUSE_OVERSIGHT_014988' Bates stamp, indicating it was likely produced during a congressional investigation, though the text itself contains no specific references to Epstein or individuals.
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"The HSCEI-SPX Dec-18 (18-month) variance swap spread is back to the lower-end of its 5-year trading range"Source
HOUSE_OVERSIGHT_014988.jpg
Quote #1
"The long term HSCEI-SPX realized vol spread has been higher than the current implied corridor variance spread (5%) 98% of the time since 2007"Source
HOUSE_OVERSIGHT_014988.jpg
Quote #2
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Chart 24: The HSCEI-SPX Dec-18 (18-month) variance swap spread is back to the lower-end of its 5-year trading range
[Chart showing Dec18 HSCEI SPX Variance Spread from Jan-12 to May-17]
Source: BofA Merrill Lynch Global Research Data as of 2-Jan-12 to 16-Jun-17
18-month constant maturity variance swap spread is used as a proxy of Dec18 variance swap spread
[Chart showing Dec18 HSCEI SPX Variance Spread from Jan-12 to May-17]
Source: BofA Merrill Lynch Global Research Data as of 2-Jan-12 to 16-Jun-17
18-month constant maturity variance swap spread is used as a proxy of Dec18 variance swap spread
Chart 25: The long term HSCEI-SPX realized vol spread has been higher than the current implied corridor variance spread (5%) 98% of the time since 2007
[Chart showing HSCEI - SPX 18-month realized vol, Dec18 Variance Implied: 8%, Dec18 70/110% Corridor Variance Implied: 5% from Jul-07 to Jun-17]
Source: BofA Merrill Lynch Global Research Data as of 2-Jul-07 to 16-Jun-17
[Chart showing HSCEI - SPX 18-month realized vol, Dec18 Variance Implied: 8%, Dec18 70/110% Corridor Variance Implied: 5% from Jul-07 to Jun-17]
Source: BofA Merrill Lynch Global Research Data as of 2-Jul-07 to 16-Jun-17
Chart 26: Historical payoff of buying HSCEI-SPX Dec-18 70/110% corridor variance spread; higher payoffs during 2011-2012 and 2015 sell-offs
[Chart showing HSCEI-SPX Dec18 70/110% corridor historical payoff (10k vega) from Jul-07 to Jul-16]
Source: BofA Merrill Lynch Global Research Data as of 2-Jul-07 to 16-Jun-17
[Chart showing HSCEI-SPX Dec18 70/110% corridor historical payoff (10k vega) from Jul-07 to Jul-16]
Source: BofA Merrill Lynch Global Research Data as of 2-Jul-07 to 16-Jun-17
Table 6: The HSCEI-SPX Dec-18 70/110% corridor variance trade has a positive carry with realized vol across most tenors higher than the current implied corridor variance swap spread
HSCEI SPX Spread
1M realized vol 12.1% 4.6% 7.5%
3M realized vol 13.7% 6.8% 6.9%
6M realized vol 14.0% 6.8% 7.2%
12M realized vol 16.6% 9.7% 6.9%
18M realized vol 20.8% 11.99% 8.8%
1M realized vol 12.1% 4.6% 7.5%
3M realized vol 13.7% 6.8% 6.9%
6M realized vol 14.0% 6.8% 7.2%
12M realized vol 16.6% 9.7% 6.9%
18M realized vol 20.8% 11.99% 8.8%
HSCEI – SPX Dec18 70/110% corridor variance offer: 5.0%
Source: BofA Merrill Lynch Global Research
Source: BofA Merrill Lynch Global Research
Bank of America Merrill Lynch
Global Equity Volatility Insights | 20 June 2017 17
HOUSE_OVERSIGHT_014988
Global Equity Volatility Insights | 20 June 2017 17
HOUSE_OVERSIGHT_014988
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