HOUSE_OVERSIGHT_014993.jpg

Table 9: Summary of open trades as of 19-Jun-17
Trade Description Open Date Open Level Expected Trade Term Rationale
Buy 6m ATM calls on FB, AMZN, NFLX and GOOGL 30-May-17 6.9% (FB), 7.2% (AMZN), 9.4% (NFLX), 6.2% (GOOGL) 6m Stock replace FANG stocks
Buy a 6m outperformance call on FANG stocks vs. SPX conditional on SPX> current levels at expiry 30-May-17 3.4% 6m Lever extremely depressed FANG volatility and low correlation to buy upside
Buy HSI Sep17 90% put, sell ASX200 Sep-17 90% put 30-May-17 0.15% Sep-17 expiry HSI is unlikely to outperform if AS51 drops more than 10%; HSI vol below AS51 vol
Buy 14-Sep-17 best-of 95% put on NKY/KOSPI2/HSI 05-Jun-17 0.80% Sep-17 expiry Buy best-of puts to hedge a reversal in rally with the low vol and correlation environment
Buy SPX Top50 volatility dispersion 05-Jun-17 16.6% Jun-18 expiry Position for a potential bubble in Tech
Buy XLF 24 call, sell QQQ 139 call 12-Jun-17 0.01% Jul-17 expiry Rotate out of Growth into Value
Buy NKY-KOSPI2 Dec-17 90/110 strangle spreads 12-Jun-17 3.50% Dec-17 expiry We think the technically depressed NKY-KOSPI2 volatility spread will normalize
Buy NKY Sep17 19000-17500 put spread 12-Jun-17 0.93% Sep-17 expiry NKY put spread may offer even better value in hedging against a "mini TARP moment"

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".

22 Global Equity Volatility Insights | 20 June 2017
Bank of America Merrill Lynch
HOUSE_OVERSIGHT_014993