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This document is page 22 of a 'Global Equity Volatility Insights' report dated June 6, 2017, produced by Bank of America Merrill Lynch. It contains technical financial analysis, specifically charts and tables regarding Asian market indices (KOSPI2, HSCEI, NIFTY) and implied volatility ratios compared to the SPX. The document bears a 'HOUSE_OVERSIGHT_023596' Bates stamp, indicating it was part of a document production for a US House Oversight Committee investigation, likely related to financial records of major banks, though the page itself contains no specific references to Jeffrey Epstein or his associates.
Organizations (2)
| Name | Type | Context |
|---|---|---|
| Bank of America Merrill Lynch | ||
| House Oversight Committee |
Locations (2)
| Location | Context |
|---|---|
Key Quotes (3)
"We estimate that structured product issuers are currently long US$10mn of KOSPI2 vega"Source
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Quote #1
"Structured product issuers are currently long ~US$89mn of HSCEI vega"Source
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Quote #2
"KOSPI2 3M ATM IV over SPX is at its 4-year high"Source
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Quote #3
Full Extracted Text
Complete text extracted from the document (2,252 characters)
Chart 45: We estimate that structured product issuers are currently long US$10mn of KOSPI2 vega
Estimate KOSPI2 outstanding vega (US$mn)
KOSPI2 Autocall Vega Outstanding Profile
[Chart showing curve peaking around 85 at 220 spot level]
KOSPI2 Spot Level
190 200 210 220 230 240 250 260 270 280 290 300 310 320 330
Source: BofA Merrill Lynch Global Research.
Estimate KOSPI2 outstanding vega (US$mn)
KOSPI2 Autocall Vega Outstanding Profile
[Chart showing curve peaking around 85 at 220 spot level]
KOSPI2 Spot Level
190 200 210 220 230 240 250 260 270 280 290 300 310 320 330
Source: BofA Merrill Lynch Global Research.
Chart 46: Structured product issuers are currently long ~US$89mn of HSCEI vega
Estimate HSCEI outstanding vega (US$mn)
HSCEI Autocall Vega Outstanding Profile
[Chart showing curve peaking around 100 at 9500 spot level]
HSCEI Spot Level
6500 7000 7500 8000 8500 9000 9500 10000 10500 11000 11500 12000 12500 13000
Source: BofA Merrill Lynch Global Research.
Estimate HSCEI outstanding vega (US$mn)
HSCEI Autocall Vega Outstanding Profile
[Chart showing curve peaking around 100 at 9500 spot level]
HSCEI Spot Level
6500 7000 7500 8000 8500 9000 9500 10000 10500 11000 11500 12000 12500 13000
Source: BofA Merrill Lynch Global Research.
KOSPI2 3M ATM IV over SPX is at its 4-year high
Table5 lists Asian index pairs with the highest IV ratio vs their 4-year histories. For instance, the ratio of KOSPI2 3M ATM IV over SPX is at its 4-year high.
Table5 lists Asian index pairs with the highest IV ratio vs their 4-year histories. For instance, the ratio of KOSPI2 3M ATM IV over SPX is at its 4-year high.
Chart 47: The ratio of KOSPI2 3M ATM IV over SPX is at its 4-yr high (Daily data from 1-Oct-12 through 02-Jun-17)
[Chart showing volatility trends]
Legend: KOSPI2 3M ATM vol, SPX 3M ATM vol, Vol ratio
Implied Vol
Ratio
Jan-13 May-13 Sep-13 Jan-14 May-14 Sep-14 Jan-15 May-15 Sep-15 Jan-16 May-16 Sep-16 Jan-17 May-17
Source: BofA Merrill Lynch Global Research
[Chart showing volatility trends]
Legend: KOSPI2 3M ATM vol, SPX 3M ATM vol, Vol ratio
Implied Vol
Ratio
Jan-13 May-13 Sep-13 Jan-14 May-14 Sep-14 Jan-15 May-15 Sep-15 Jan-16 May-16 Sep-16 Jan-17 May-17
Source: BofA Merrill Lynch Global Research
Table 5: Index pairs^ with the highest implied vol ratio vs their histories (data as of 02-Jun-17)
Index A (Implied vol) | Index B (Implied Vol) | A/B Implied Vol ratio | Ratio 4-yr percentile
3M ATM | KOSPI2 (12.8%) | SPX (9.4%) | 1.36 | 100%
6M ATM | KOSPI2 (13.6%) | NIFTY (11.8%) | 1.16 | 99%
12M ATM | KOSPI2 (14.8%) | NIFTY (13.8%) | 1.07 | 99%
3M ATM | KOSPI2 (12.8%) | SPX (9.4%) | 1.36 | 100%
6M ATM | KOSPI2 (13.6%) | NIFTY (11.8%) | 1.16 | 99%
12M ATM | KOSPI2 (14.8%) | NIFTY (13.8%) | 1.07 | 99%
3M 25d-Put | KOSPI2 (13.6%) | HSCEI (16.4%) | 0.83 | 99%
6M 25d-Put | KOSPI2 (14.7%) | NIFTY (12.5%) | 1.17 | 99%
12M 25d-Put | KOSPI2 (16.0%) | NIFTY (14.4%) | 1.11 | 99%
6M 25d-Put | KOSPI2 (14.7%) | NIFTY (12.5%) | 1.17 | 99%
12M 25d-Put | KOSPI2 (16.0%) | NIFTY (14.4%) | 1.11 | 99%
3M 25d-Call | KOSPI2 (12.6%) | SX5E (11.6%) | 1.09 | 100%
6M 25d-Call | KOSPI2 (13.4%) | NIFTY (10.8%) | 1.25 | 100%
12M 25d-Call | KOSPI2 (14.6%) | NIFTY (12.0%) | 1.21 | 100%
6M 25d-Call | KOSPI2 (13.4%) | NIFTY (10.8%) | 1.25 | 100%
12M 25d-Call | KOSPI2 (14.6%) | NIFTY (12.0%) | 1.21 | 100%
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
22 Global Equity Volatility Insights | 06 June 2017
Bank of America Merrill Lynch
HOUSE_OVERSIGHT_023596
Bank of America Merrill Lynch
HOUSE_OVERSIGHT_023596
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