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This document presents two tables (Table 11 and Table 12) containing statistical data on implied and realised volatility, skew, and term structure for developed and emerging markets as of June 16, 2017. The data covers 3-month and 12-month timeframes for various indices including S&P500, ESTX50, FTSE, DAX, NKY, HSI, KOSPI, EEM US, IBOV, RDXUSD, and TOP40, along with cash index performance.
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| Name | Type | Context |
|---|---|---|
| Bank of America Merrill Lynch | ||
| BofA Merrill Lynch Global Research |
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Volatility in Numbers (16-Jun-17)
Table 11: Statistics on implied, realised, skew and term structure for 3-month and 12-month vols (developed markets)
3-month 12-month
S&P500 ESTX50 FTSE DAX NKY HSI KOSPI S&P500 ESTX50 FTSE DAX NKY HSI KOSPI
Implied 9.8% 13.4% 10.0% 12.6% 13.8% 12.4% 12.2% 14.0% 16.8% 13.6% 16.6% 17.2% 15.8% 14.6%
%tile (2yr) 1.2% 1.6% 0.6% 0.8% 0.4% 4.1% 19.9% 7.7% 5.6% 9.5% 5.5% 1.8% 6.3% 24.9%
1Week Change -0.2% 0.3% -0.4% 0.3% -0.2% 0.1% 0.3% 0.1% 0.1% -0.1% 0.1% -0.4% 0.0% 0.1%
1Mth Change -0.2% 0.0% 0.0% -0.4% -0.5% -0.3% -0.2% 0.1% 0.3% 0.6% 0.1% 0.2% 0.2% 0.7%
Realised 7.0% 11.4% 9.6% 10.7% 12.2% 10.2% 10.7% 9.5% 13.3% 12.2% 15.1% 19.6% 13.5% 11.4%
%tile (2yr) 11.5% 15.5% 15.6% 9.4% 0.6% 0.8% 21.1% 0.0% 0.0% 0.0% 0.0% 10.8% 1.4% 20.7%
1Week Change -0.2% 0.2% 0.2% 0.4% -0.3% 0.1% -0.1% -0.1% -3.2% -0.3% -0.4% -0.2% 0.1% -0.1%
1Mth Change 0.4% -0.1% 0.1% 0.1% -0.2% -0.5% 0.1% 0.0% -3.8% -0.7% -1.0% -0.4% -0.5% 0.0%
Imp-real spread 2.7% 2.0% 0.4% 1.9% 1.6% 2.3% 1.5% 4.5% 3.5% 1.4% 1.5% -2.3% 2.3% 3.1%
Spread %tile (2yr) 57.9% 55.7% 45.1% 57.2% 67.8% 71.3% 58.6% 91.5% 100.0% 85.2% 99.2% 61.6% 89.2% 70.8%
1Week Change -0.1% 0.1% -0.5% -0.2% 0.0% 0.1% 0.4% 0.1% 3.3% 0.2% 0.4% -0.2% -0.1% 0.2%
1Mth Change -0.6% 0.1% -0.1% -0.5% -0.2% 0.2% -0.2% 0.2% 4.1% 1.3% 1.2% 0.6% 0.7% 0.7%
90-110 skew 8.5% 8.4% 6.2% 8.5% 5.8% 3.3% 3.8%
%tile (2yr) 16.1% 71.8% 8.8% 66.7% 47.9% 17.8% 14.2%
1Week Change 0.2% 0.9% 0.2% 0.7% 0.0% 0.9% 0.8%
1Mth Change 0.5% 2.4% 1.2% 1.6% 0.2% 0.9% 0.9%
S&P500 ESTX50 FTSE DAX NKY HSI KOSPI S&P500 ESTX50 FTSE DAX NKY HSI KOSPI
Implied 9.8% 13.4% 10.0% 12.6% 13.8% 12.4% 12.2% 14.0% 16.8% 13.6% 16.6% 17.2% 15.8% 14.6%
%tile (2yr) 1.2% 1.6% 0.6% 0.8% 0.4% 4.1% 19.9% 7.7% 5.6% 9.5% 5.5% 1.8% 6.3% 24.9%
1Week Change -0.2% 0.3% -0.4% 0.3% -0.2% 0.1% 0.3% 0.1% 0.1% -0.1% 0.1% -0.4% 0.0% 0.1%
1Mth Change -0.2% 0.0% 0.0% -0.4% -0.5% -0.3% -0.2% 0.1% 0.3% 0.6% 0.1% 0.2% 0.2% 0.7%
Realised 7.0% 11.4% 9.6% 10.7% 12.2% 10.2% 10.7% 9.5% 13.3% 12.2% 15.1% 19.6% 13.5% 11.4%
%tile (2yr) 11.5% 15.5% 15.6% 9.4% 0.6% 0.8% 21.1% 0.0% 0.0% 0.0% 0.0% 10.8% 1.4% 20.7%
1Week Change -0.2% 0.2% 0.2% 0.4% -0.3% 0.1% -0.1% -0.1% -3.2% -0.3% -0.4% -0.2% 0.1% -0.1%
1Mth Change 0.4% -0.1% 0.1% 0.1% -0.2% -0.5% 0.1% 0.0% -3.8% -0.7% -1.0% -0.4% -0.5% 0.0%
Imp-real spread 2.7% 2.0% 0.4% 1.9% 1.6% 2.3% 1.5% 4.5% 3.5% 1.4% 1.5% -2.3% 2.3% 3.1%
Spread %tile (2yr) 57.9% 55.7% 45.1% 57.2% 67.8% 71.3% 58.6% 91.5% 100.0% 85.2% 99.2% 61.6% 89.2% 70.8%
1Week Change -0.1% 0.1% -0.5% -0.2% 0.0% 0.1% 0.4% 0.1% 3.3% 0.2% 0.4% -0.2% -0.1% 0.2%
1Mth Change -0.6% 0.1% -0.1% -0.5% -0.2% 0.2% -0.2% 0.2% 4.1% 1.3% 1.2% 0.6% 0.7% 0.7%
90-110 skew 8.5% 8.4% 6.2% 8.5% 5.8% 3.3% 3.8%
%tile (2yr) 16.1% 71.8% 8.8% 66.7% 47.9% 17.8% 14.2%
1Week Change 0.2% 0.9% 0.2% 0.7% 0.0% 0.9% 0.8%
1Mth Change 0.5% 2.4% 1.2% 1.6% 0.2% 0.9% 0.9%
10-day realised 12M - 3M term vol spread
S&P500 ESTX50 FTSE DAX NKY HSI KOSPI S&P500 ESTX50 FTSE DAX NKY HSI KOSPI
Current Level 3.2% 9.4% 8.3% 12.1% 7.1% 9.9% 10.6% 4.3% 3.4% 3.6% 3.9% 3.5% 3.4% 2.4%
%tile (2yr) 1.0% 16.3% 21.7% 26.3% 0.8% 15.5% 46.7% 99.8% 98.9% 99.6% 99.6% 98.9% 96.9% 79.5%
1Week Change -1.5% 2.1% 1.2% 2.5% -4.1% 4.6% 0.9% 0.3% -0.2% 0.2% -0.2% -0.2% -0.1% -0.2%
1Mth Change -0.4% 0.9% 0.4% 5.2% -5.8% 0.1% -6.2% 0.3% 0.3% 0.6% 0.5% 0.7% 0.4% 0.9%
S&P500 ESTX50 FTSE DAX NKY HSI KOSPI S&P500 ESTX50 FTSE DAX NKY HSI KOSPI
Current Level 3.2% 9.4% 8.3% 12.1% 7.1% 9.9% 10.6% 4.3% 3.4% 3.6% 3.9% 3.5% 3.4% 2.4%
%tile (2yr) 1.0% 16.3% 21.7% 26.3% 0.8% 15.5% 46.7% 99.8% 98.9% 99.6% 99.6% 98.9% 96.9% 79.5%
1Week Change -1.5% 2.1% 1.2% 2.5% -4.1% 4.6% 0.9% 0.3% -0.2% 0.2% -0.2% -0.2% -0.1% -0.2%
1Mth Change -0.4% 0.9% 0.4% 5.2% -5.8% 0.1% -6.2% 0.3% 0.3% 0.6% 0.5% 0.7% 0.4% 0.9%
Cash index
Current Level 2,433.15 3,543.88 7,463.54 12,752.73 19,943.26 25,626.49 306.79
1Wk Change 0.06% -1.18% -0.85% -0.49% -0.35% -1.55% -0.84%
1Mth Change 1.35% -2.69% -0.78% -0.40% 0.12% 1.15% 2.38%
Source: BofA Merrill Lynch Global Research
Current Level 2,433.15 3,543.88 7,463.54 12,752.73 19,943.26 25,626.49 306.79
1Wk Change 0.06% -1.18% -0.85% -0.49% -0.35% -1.55% -0.84%
1Mth Change 1.35% -2.69% -0.78% -0.40% 0.12% 1.15% 2.38%
Source: BofA Merrill Lynch Global Research
Table 12: Statistics on implied, realised, skew and term structure for 3-month and 12-month vols (emerging markets)
3-month 12-month
EEM US IBOV RDXUSD TOP40 EEM US IBOV RDXUSD TOP40
Implied 15.6% 22.9% 25.9% 16.9% 19.2% 24.3% 26.7% 18.5%
%tile (2yr) 5.0% 31.7% 28.7% 15.6% 8.9% 39.2% 26.7% 9.2%
1Wk Change 0.5% -1.7% 0.9% 1.2% 0.2% -0.2% 0.5% 0.8%
1Mth Change 0.5% 1.8% 2.6% 1.9% 1.4% 2.0% 1.4% 0.5%
Realised 11.8% 25.3% 20.5% 11.0% 17.6% 22.5% 20.4% 14.9%
%tile (2yr) 0.2% 58.8% 20.8% 3.2% 8.5% 5.7% 0.0% 2.8%
1Wk Change -1.2% -0.6% -1.1% 0.3% -0.2% -0.4% -0.4% 0.1%
1Mth Change -1.2% 6.6% 0.0% -0.6% -0.2% 1.5% -0.9% -0.2%
Imp-real spread 3.8% -2.4% 5.4% 5.8% 1.6% 1.9% 6.3% 3.6%
Spread %tile (2yr) 85.5% 11.7% 71.7% 95.0% 65.5% 74.9% 99.0% 74.9%
1Wk Change 1.8% -1.1% 2.0% 1.0% 0.5% 0.1% 1.0% 0.7%
1Mth Change 1.7% -4.8% 2.7% 2.5% 1.6% 0.5% 2.3% 0.7%
90-110 skew 7.0% 5.9% 5.2% 8.0%
%tile (2yr) 32.8% 68.4% 26.2% 35.4%
1Wk Change 0.7% 0.8% 0.4% 0.4%
1Mth Change 0.9% 0.4% 0.6% 1.3%
EEM US IBOV RDXUSD TOP40 EEM US IBOV RDXUSD TOP40
Implied 15.6% 22.9% 25.9% 16.9% 19.2% 24.3% 26.7% 18.5%
%tile (2yr) 5.0% 31.7% 28.7% 15.6% 8.9% 39.2% 26.7% 9.2%
1Wk Change 0.5% -1.7% 0.9% 1.2% 0.2% -0.2% 0.5% 0.8%
1Mth Change 0.5% 1.8% 2.6% 1.9% 1.4% 2.0% 1.4% 0.5%
Realised 11.8% 25.3% 20.5% 11.0% 17.6% 22.5% 20.4% 14.9%
%tile (2yr) 0.2% 58.8% 20.8% 3.2% 8.5% 5.7% 0.0% 2.8%
1Wk Change -1.2% -0.6% -1.1% 0.3% -0.2% -0.4% -0.4% 0.1%
1Mth Change -1.2% 6.6% 0.0% -0.6% -0.2% 1.5% -0.9% -0.2%
Imp-real spread 3.8% -2.4% 5.4% 5.8% 1.6% 1.9% 6.3% 3.6%
Spread %tile (2yr) 85.5% 11.7% 71.7% 95.0% 65.5% 74.9% 99.0% 74.9%
1Wk Change 1.8% -1.1% 2.0% 1.0% 0.5% 0.1% 1.0% 0.7%
1Mth Change 1.7% -4.8% 2.7% 2.5% 1.6% 0.5% 2.3% 0.7%
90-110 skew 7.0% 5.9% 5.2% 8.0%
%tile (2yr) 32.8% 68.4% 26.2% 35.4%
1Wk Change 0.7% 0.8% 0.4% 0.4%
1Mth Change 0.9% 0.4% 0.6% 1.3%
10-day realised 12M - 3M term vol spread
EEM US IBOV RDXUSD TOP40 EEM US IBOV RDXUSD TOP40
Current Level 8.1% 8.8% 17.0% 12.2% 3.6% 1.4% 0.9% 1.7%
%tile (2yr) 4.0% 0.2% 17.8% 26.3% 97.5% 80.5% 57.7% 46.2%
1Wk Change -0.5% -4.3% -2.2% 0.8% -0.3% 1.5% -0.4% -0.5%
1Mth Change -3.9% -8.1% -2.7% 5.3% 1.0% 0.2% -1.2% -1.4%
EEM US IBOV RDXUSD TOP40 EEM US IBOV RDXUSD TOP40
Current Level 8.1% 8.8% 17.0% 12.2% 3.6% 1.4% 0.9% 1.7%
%tile (2yr) 4.0% 0.2% 17.8% 26.3% 97.5% 80.5% 57.7% 46.2%
1Wk Change -0.5% -4.3% -2.2% 0.8% -0.3% 1.5% -0.4% -0.5%
1Mth Change -3.9% -8.1% -2.7% 5.3% 1.0% 0.2% -1.2% -1.4%
Cash index
Current Level 41.22 61,626.41 1,136.99 44,512.15
1Wk Change -0.94% -0.94% -3.70% -2.97%
1Mth Change -1.10% -10.28% -11.99% -6.15%
Source: BofA Merrill Lynch Global Research
Current Level 41.22 61,626.41 1,136.99 44,512.15
1Wk Change -0.94% -0.94% -3.70% -2.97%
1Mth Change -1.10% -10.28% -11.99% -6.15%
Source: BofA Merrill Lynch Global Research
26 Global Equity Volatility Insights | 20 June 2017
Bank of America Merrill Lynch
HOUSE_OVERSIGHT_014997
Bank of America Merrill Lynch
HOUSE_OVERSIGHT_014997
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