HOUSE_OVERSIGHT_025999.jpg
564 KB
Extraction Summary
0
People
2
Organizations
2
Locations
0
Events
0
Relationships
0
Quotes
Document Information
Type:
Financial research report / market analysis
File Size:
564 KB
Summary
This document is page 22 of a 'Global Equity Volatility Insights' report produced by Bank of America Merrill Lynch on August 9, 2016. It features 'Table 10,' which presents statistics on implied and realised volatility, skew, and term structure for emerging markets (specifically indices EEM US, IBOV, RDXUSD, and TOP40). The page bears a Bates stamp indicating it was part of a production to the House Oversight Committee.
Organizations (2)
| Name | Type | Context |
|---|---|---|
| Bank of America Merrill Lynch |
Creator of the Global Equity Volatility Insights report
|
|
| House Oversight Committee |
Implied by Bates stamp 'HOUSE_OVERSIGHT'
|
Locations (2)
| Location | Context |
|---|---|
|
Subject of the financial data
|
|
|
Implied by 'EEM US' index
|
Full Extracted Text
Complete text extracted from the document (771 characters)
Table 10: Statistics on implied, realised, skew and term structure for 3-month and 12-month vols (emerging markets)
10-day realised
EEM US IBOV RDXUSD TOP40
Current Level 10.4% 13.2% 18.5% 11.0%
%tile (2yr) 4.2% 3.4% 5.3% 16.6%
1Wk Change -0.5% 2.4% 6.2% 2.3%
1Mth Change -31.3% -15.2% -8.8% -19.6%
EEM US IBOV RDXUSD TOP40
Current Level 10.4% 13.2% 18.5% 11.0%
%tile (2yr) 4.2% 3.4% 5.3% 16.6%
1Wk Change -0.5% 2.4% 6.2% 2.3%
1Mth Change -31.3% -15.2% -8.8% -19.6%
Cash index
Current Level 36.62 57,661.14 1,090.44 45,385.74
1Wk Change 1.15% 0.62% 1.72% -1.16%
1Mth Change 7.86% 11.22% 1.44% 0.12%
Current Level 36.62 57,661.14 1,090.44 45,385.74
1Wk Change 1.15% 0.62% 1.72% -1.16%
1Mth Change 7.86% 11.22% 1.44% 0.12%
12M - 3M term vol spread
EEM US IBOV RDXUSD TOP40
Current Level 2.4% 1.8% 1.1% 2.3%
%tile (2yr) 74.1% 98.3% 88.1% 90.0%
1Wk Change -0.1% -0.1% 0.3% 0.1%
1Mth Change 1.5% 1.1% 0.5% 1.3%
EEM US IBOV RDXUSD TOP40
Current Level 2.4% 1.8% 1.1% 2.3%
%tile (2yr) 74.1% 98.3% 88.1% 90.0%
1Wk Change -0.1% -0.1% 0.3% 0.1%
1Mth Change 1.5% 1.1% 0.5% 1.3%
Source: BofA Merrill Lynch Global Research
22 Global Equity Volatility Insights | 09 August 2016
Bank of America Merrill Lynch
HOUSE_OVERSIGHT_025999
Bank of America Merrill Lynch
HOUSE_OVERSIGHT_025999
Discussion 0
No comments yet
Be the first to share your thoughts on this epstein document