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Summary
This document is page 19 of a 'Global Equity Volatility Insights' report produced by Bank of America Merrill Lynch on August 9, 2016. It contains technical financial analysis (Chart 38 and Table 6) comparing the implied volatility of Asian index pairs (specifically TWSE) against the SPX. The document bears the Bates stamp 'HOUSE_OVERSIGHT_025996', indicating it was part of a document production to the U.S. House Oversight Committee, likely as part of a subpoena for bank records.
Organizations (5)
| Name | Type | Context |
|---|---|---|
| Bank of America Merrill Lynch |
Creator of the Global Equity Volatility Insights report
|
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| House Oversight Committee |
Implied by Bates stamp 'HOUSE_OVERSIGHT'
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| TWSE |
Taiwan Stock Exchange index analyzed in the report
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| SPX |
S&P 500 index used for comparison
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| SX5E |
Euro Stoxx 50 index analyzed in the report
|
Timeline (1 events)
2016-08-05
Data cutoff date for the volatility analysis presented in Table 6 and Chart 38.
Global Markets
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Complete text extracted from the document (1,535 characters)
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.
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)
[Chart Legend: TWSE 3M 25d-Call vol, SPX 3M 25d-Call vol, Vol ratio]
[Y-Axis Left: Implied Vol 5% - 40%]
[Y-Axis Right: Ratio 0.8 - 1.6]
[X-Axis: Dates Jan-11 through May-16]
Source: BofA Merrill Lynch Global Research. Daily data from 1-Jan-11 through 5-Aug-16
[Chart Legend: TWSE 3M 25d-Call vol, SPX 3M 25d-Call vol, Vol ratio]
[Y-Axis Left: Implied Vol 5% - 40%]
[Y-Axis Right: Ratio 0.8 - 1.6]
[X-Axis: Dates Jan-11 through May-16]
Source: BofA Merrill Lynch Global Research. 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)
Index A (Implied vol) | Index B (Implied Vol) | A/B Implied Vol ratio | Ratio 4-yr percentile
3M ATM | TWSE (14.6%) | SPX (11.8%) | 1.23 | 97%
6M ATM | SX5E (20.0%) | SPX (13.7%) | 1.46 | 96%
12M ATM | SX5E (20.2%) | SPX (15.4%) | 1.31 | 98%
3M ATM | TWSE (14.6%) | SPX (11.8%) | 1.23 | 97%
6M ATM | SX5E (20.0%) | SPX (13.7%) | 1.46 | 96%
12M ATM | SX5E (20.2%) | SPX (15.4%) | 1.31 | 98%
3M 25d-Put | TWSE (17.1%) | SPX (15.5%) | 1.10 | 97%
6M 25d-Put | TWSE (17.8%) | SPX (17.9%) | 0.99 | 93%
12M 25d-Put | SX5E (24.2%) | SPX (19.9%) | 1.22 | 96%
6M 25d-Put | TWSE (17.8%) | SPX (17.9%) | 0.99 | 93%
12M 25d-Put | SX5E (24.2%) | SPX (19.9%) | 1.22 | 96%
3M 25d-Call | TWSE (13.9%) | SPX (9.9%) | 1.41 | 97%
6M 25d-Call | SX5E (17.5%) | SPX (11.3%) | 1.54 | 97%
12M 25d-Call | SX5E (18.2%) | SPX (12.8%) | 1.42 | 98%
6M 25d-Call | SX5E (17.5%) | SPX (11.3%) | 1.54 | 97%
12M 25d-Call | SX5E (18.2%) | SPX (12.8%) | 1.42 | 98%
Source: BofA Merrill Lynch Global Research
^ Index universe includes the ASX200, HSCEI, HSI, KOSPI2, NIFTY, NKY, TWSE, SPX and SX5E
* mid level implied vol
^ Index universe includes the ASX200, HSCEI, HSI, KOSPI2, NIFTY, NKY, TWSE, SPX and SX5E
* mid level implied vol
Bank of America Merrill Lynch
Global Equity Volatility Insights | 09 August 2016 19
HOUSE_OVERSIGHT_025996
Global Equity Volatility Insights | 09 August 2016 19
HOUSE_OVERSIGHT_025996
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