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This document is a page from a Bank of America Merrill Lynch research report titled 'Global Equity Volatility Insights' dated June 6, 2017. It contains two data tables (Table 8 and Table 9) displaying statistics on implied, realised, skew, and term structure for market volatilities in developed and emerging markets. The document bears the Bates stamp 'HOUSE_OVERSIGHT_023602', indicating it was obtained as part of a US House Oversight Committee investigation, likely related to subpoenaed financial records.
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| Name | Type | Context |
|---|---|---|
| Bank of America Merrill Lynch | ||
| House Oversight Committee |
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Volatility in Numbers (02-Jun-17)
Table 8: Statistics on implied, realised, skew and term structure for 3-month and 12-month vols (developed markets)
3-month
S&P500 ESTX50 FTSE DAX NKY HSI KOSPI
Implied 9.5% 13.0% 10.6% 12.2% 14.2% 12.4% 12.8%
%tile (2yr) 0.2% 0.0% 3.8% 0.0% 0.8% 2.6% 37.9%
1 Week Change -0.1% -0.4% 0.4% -0.7% -0.2% 0.3% -0.3%
1 Mth Change -0.6% -1.4% 0.1% -1.3% -0.7% 0.0% 0.9%
Realised 7.3% 11.1% 9.1% 10.0% 12.5% 10.3% 11.0%
%tile (2yr) 13.9% 11.8% 10.3% 1.0% 2.4% 0.6% 24.3%
1 Week Change -0.4% -0.7% -0.6% -0.7% 0.1% -0.2% 0.1%
1 Mth Change 0.4% -0.7% -0.2% -1.4% -0.4% -0.4% 2.4%
Imp-real spread 2.3% 1.9% 1.4% 2.3% 1.7% 2.2% 1.8%
Spread %tile (2yr) 51.4% 53.4% 61.9% 63.3% 67.8% 69.9% 64.4%
1 Week Change 0.3% 0.3% 1.0% 0.0% -0.3% 0.5% -0.4%
1 Mth Change -1.0% -0.6% 0.3% 0.1% -0.4% 0.4% -1.4%
90-110 skew 7.9% 7.1% 5.3% 7.1% 5.0% 2.3% 3.0%
%tile (2yr) 4.6% 16.9% 1.1% 21.5% 19.0% 6.5% 2.7%
1 Week Change -0.9% -0.4% -0.4% -0.6% -1.0% -0.4% 0.2%
1 Mth Change 0.3% 0.8% -1.5% -0.4% -0.4% -0.7% -1.4%
S&P500 ESTX50 FTSE DAX NKY HSI KOSPI
Implied 9.5% 13.0% 10.6% 12.2% 14.2% 12.4% 12.8%
%tile (2yr) 0.2% 0.0% 3.8% 0.0% 0.8% 2.6% 37.9%
1 Week Change -0.1% -0.4% 0.4% -0.7% -0.2% 0.3% -0.3%
1 Mth Change -0.6% -1.4% 0.1% -1.3% -0.7% 0.0% 0.9%
Realised 7.3% 11.1% 9.1% 10.0% 12.5% 10.3% 11.0%
%tile (2yr) 13.9% 11.8% 10.3% 1.0% 2.4% 0.6% 24.3%
1 Week Change -0.4% -0.7% -0.6% -0.7% 0.1% -0.2% 0.1%
1 Mth Change 0.4% -0.7% -0.2% -1.4% -0.4% -0.4% 2.4%
Imp-real spread 2.3% 1.9% 1.4% 2.3% 1.7% 2.2% 1.8%
Spread %tile (2yr) 51.4% 53.4% 61.9% 63.3% 67.8% 69.9% 64.4%
1 Week Change 0.3% 0.3% 1.0% 0.0% -0.3% 0.5% -0.4%
1 Mth Change -1.0% -0.6% 0.3% 0.1% -0.4% 0.4% -1.4%
90-110 skew 7.9% 7.1% 5.3% 7.1% 5.0% 2.3% 3.0%
%tile (2yr) 4.6% 16.9% 1.1% 21.5% 19.0% 6.5% 2.7%
1 Week Change -0.9% -0.4% -0.4% -0.6% -1.0% -0.4% 0.2%
1 Mth Change 0.3% 0.8% -1.5% -0.4% -0.4% -0.7% -1.4%
12-month
S&P500 ESTX50 FTSE DAX NKY HSI KOSPI
13.8% 16.5% 13.4% 16.1% 17.3% 15.9% 14.8%
2.6% 2.9% 5.7% 0.8% 3.9% 6.3% 32.4%
-0.1% 0.1% 0.3% -0.3% 0.0% 0.2% 0.1%
0.3% 0.0% 0.5% -0.4% -0.2% 0.7% 1.6%
9.6% 16.8% 12.7% 15.8% 19.8% 13.7% 11.5%
1.6% 0.0% 0.0% 0.2% 14.7% 0.2% 24.5%
0.0% -0.3% 0.0% -0.1% 0.0% -0.1% 0.0%
-0.2% -0.7% -0.3% -0.5% -0.6% -0.4% 0.4%
4.1% -0.2% 0.8% 0.3% -2.5% 2.2% 3.3%
81.5% 79.8% 73.3% 79.6% 61.2% 88.0% 72.9%
-0.2% 0.3% 0.3% -0.2% 0.0% 0.3% 0.1%
0.5% 0.6% 0.9% 0.1% 0.4% 1.1% 1.2%
S&P500 ESTX50 FTSE DAX NKY HSI KOSPI
13.8% 16.5% 13.4% 16.1% 17.3% 15.9% 14.8%
2.6% 2.9% 5.7% 0.8% 3.9% 6.3% 32.4%
-0.1% 0.1% 0.3% -0.3% 0.0% 0.2% 0.1%
0.3% 0.0% 0.5% -0.4% -0.2% 0.7% 1.6%
9.6% 16.8% 12.7% 15.8% 19.8% 13.7% 11.5%
1.6% 0.0% 0.0% 0.2% 14.7% 0.2% 24.5%
0.0% -0.3% 0.0% -0.1% 0.0% -0.1% 0.0%
-0.2% -0.7% -0.3% -0.5% -0.6% -0.4% 0.4%
4.1% -0.2% 0.8% 0.3% -2.5% 2.2% 3.3%
81.5% 79.8% 73.3% 79.6% 61.2% 88.0% 72.9%
-0.2% 0.3% 0.3% -0.2% 0.0% 0.3% 0.1%
0.5% 0.6% 0.9% 0.1% 0.4% 1.1% 1.2%
10-day realised
S&P500 ESTX50 FTSE DAX NKY HSI KOSPI
Current Level 6.6% 5.8% 4.6% 7.1% 11.1% 7.1% 10.6%
%tile (2yr) 21.8% 2.1% 0.6% 6.7% 16.3% 0.4% 46.2%
1 Week Change -4.3% -4.1% -3.2% -0.6% 1.9% -0.9% 2.4%
1 Mth Change -1.0% -14.4% -12.7% -10.5% -1.4% -4.8% 0.3%
S&P500 ESTX50 FTSE DAX NKY HSI KOSPI
Current Level 6.6% 5.8% 4.6% 7.1% 11.1% 7.1% 10.6%
%tile (2yr) 21.8% 2.1% 0.6% 6.7% 16.3% 0.4% 46.2%
1 Week Change -4.3% -4.1% -3.2% -0.6% 1.9% -0.9% 2.4%
1 Mth Change -1.0% -14.4% -12.7% -10.5% -1.4% -4.8% 0.3%
12M - 3M term vol spread
S&P500 ESTX50 FTSE DAX NKY HSI KOSPI
4.2% 3.6% 2.8% 3.8% 3.2% 3.5% 2.0%
99.6% 100.0% 86.2% 100.0% 99.6% 98.9% 53.1%
0.0% 0.4% -0.1% 0.4% 0.2% -0.1% 0.4%
0.9% 1.3% 0.4% 0.9% 0.5% 0.7% 0.6%
S&P500 ESTX50 FTSE DAX NKY HSI KOSPI
4.2% 3.6% 2.8% 3.8% 3.2% 3.5% 2.0%
99.6% 100.0% 86.2% 100.0% 99.6% 98.9% 53.1%
0.0% 0.4% -0.1% 0.4% 0.2% -0.1% 0.4%
0.9% 1.3% 0.4% 0.9% 0.5% 0.7% 0.6%
Cash index
Current Level 2,439.07 3,591.82 7,547.63 12,822.94 20,177.28 25,924.05 307.83
1 Wk Change 0.96% 0.36% 0.00% 1.75% 2.49% 1.11% 0.28%
1 Mth Change 2.00% 0.38% 4.10% 2.52% 3.76% 4.97% 6.28%
Source: BofA Merrill Lynch Global Research
Current Level 2,439.07 3,591.82 7,547.63 12,822.94 20,177.28 25,924.05 307.83
1 Wk Change 0.96% 0.36% 0.00% 1.75% 2.49% 1.11% 0.28%
1 Mth Change 2.00% 0.38% 4.10% 2.52% 3.76% 4.97% 6.28%
Source: BofA Merrill Lynch Global Research
Table 9: Statistics on implied, realised, skew and term structure for 3-month and 12-month vols (emerging markets)
3-month
EEM US IBOV RDXUSD TOP40
Implied 15.4% 25.3% 24.7% 15.1%
%tile (2yr) 4.0% 52.5% 13.4% 4.2%
1 Wk Change -0.1% 0.5% 1.2% 1.0%
1 Mth Change 0.8% 4.5% 1.0% 0.2%
Realised 13.3% 26.3% 21.8% 10.9%
%tile (2yr) 8.1% 70.1% 31.4% 1.0%
1 Wk Change -0.8% -0.2% 0.0% 0.1%
1 Mth Change 0.8% 7.6% 2.1% -1.2%
Imp-real spread 2.2% -1.0% 2.9% 4.2%
Spread %tile (2yr) 65.3% 24.4% 37.2% 76.4%
1 Wk Change 0.6% 0.8% 1.2% 0.9%
1 Mth Change 0.1% -3.0% -1.1% 1.4%
90-110 skew 6.0% 4.9% 4.8% 7.2%
%tile (2yr) 1.1% 28.7% 18.8% 14.6%
1 Wk Change -0.5% 0.5% 0.1% 0.5%
1 Mth Change -0.4% -0.9% 0.4% 0.7%
EEM US IBOV RDXUSD TOP40
Implied 15.4% 25.3% 24.7% 15.1%
%tile (2yr) 4.0% 52.5% 13.4% 4.2%
1 Wk Change -0.1% 0.5% 1.2% 1.0%
1 Mth Change 0.8% 4.5% 1.0% 0.2%
Realised 13.3% 26.3% 21.8% 10.9%
%tile (2yr) 8.1% 70.1% 31.4% 1.0%
1 Wk Change -0.8% -0.2% 0.0% 0.1%
1 Mth Change 0.8% 7.6% 2.1% -1.2%
Imp-real spread 2.2% -1.0% 2.9% 4.2%
Spread %tile (2yr) 65.3% 24.4% 37.2% 76.4%
1 Wk Change 0.6% 0.8% 1.2% 0.9%
1 Mth Change 0.1% -3.0% -1.1% 1.4%
90-110 skew 6.0% 4.9% 4.8% 7.2%
%tile (2yr) 1.1% 28.7% 18.8% 14.6%
1 Wk Change -0.5% 0.5% 0.1% 0.5%
1 Mth Change -0.4% -0.9% 0.4% 0.7%
12-month
EEM US IBOV RDXUSD TOP40
19.0% 24.4% 26.1% 17.4%
6.9% 41.4% 12.1% 1.4%
0.3% 0.6% 0.2% 0.6%
1.6% 1.6% 0.3% -0.6%
18.0% 22.9% 21.4% 14.9%
13.3% 9.7% 2.0% 0.6%
0.0% 0.1% 0.0% 0.0%
-0.3% 1.6% 0.0% -0.4%
1.1% 1.5% 4.7% 2.5%
58.9% 67.9% 96.4% 44.1%
0.3% 0.5% 0.2% 0.6%
1.9% 0.0% 0.3% -0.2%
EEM US IBOV RDXUSD TOP40
19.0% 24.4% 26.1% 17.4%
6.9% 41.4% 12.1% 1.4%
0.3% 0.6% 0.2% 0.6%
1.6% 1.6% 0.3% -0.6%
18.0% 22.9% 21.4% 14.9%
13.3% 9.7% 2.0% 0.6%
0.0% 0.1% 0.0% 0.0%
-0.3% 1.6% 0.0% -0.4%
1.1% 1.5% 4.7% 2.5%
58.9% 67.9% 96.4% 44.1%
0.3% 0.5% 0.2% 0.6%
1.9% 0.0% 0.3% -0.2%
10-day realised
EEM US IBOV RDXUSD TOP40
Current Level 13.1% 17.7% 21.2% 10.0%
%tile (2yr) 23.0% 24.4% 31.8% 9.8%
1 Wk Change -4.1% -32.0% -6.4% 5.0%
1 Mth Change 1.2% -1.9% 8.2% -3.2%
EEM US IBOV RDXUSD TOP40
Current Level 13.1% 17.7% 21.2% 10.0%
%tile (2yr) 23.0% 24.4% 31.8% 9.8%
1 Wk Change -4.1% -32.0% -6.4% 5.0%
1 Mth Change 1.2% -1.9% 8.2% -3.2%
12M - 3M term vol spread
EEM US IBOV RDXUSD TOP40
3.6% -0.9% 1.4% 2.3%
98.7% 24.7% 79.9% 64.8%
0.5% 0.0% -1.0% -0.4%
0.7% -2.9% -0.8% -0.8%
EEM US IBOV RDXUSD TOP40
3.6% -0.9% 1.4% 2.3%
98.7% 24.7% 79.9% 64.8%
0.5% 0.0% -1.0% -0.4%
0.7% -2.9% -0.8% -0.8%
Cash index
Current Level 41.76 62,510.70 1,189.17 46,522.53
1 Wk Change 0.05% -2.46% -3.33% -2.13%
1 Mth Change 2.91% -6.31% -6.17% -1.31%
Source: BofA Merrill Lynch Global Research
Current Level 41.76 62,510.70 1,189.17 46,522.53
1 Wk Change 0.05% -2.46% -3.33% -2.13%
1 Mth Change 2.91% -6.31% -6.17% -1.31%
Source: BofA Merrill Lynch Global Research
28 Global Equity Volatility Insights | 06 June 2017
Bank of America Merrill Lynch
HOUSE_OVERSIGHT_023602
Bank of America Merrill Lynch
HOUSE_OVERSIGHT_023602
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