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This document is a page from a Bank of America Merrill Lynch report titled 'Global Equity Volatility Insights' dated August 9, 2016. It features 'Table 2,' which presents statistical data on S&P 500 volatility and correlation measures for the week ending August 5, 2016, compared to historical data. The document bears the Bates stamp 'HOUSE_OVERSIGHT_025986', indicating it was obtained during a House Oversight Committee investigation.
Organizations (3)
| Name | Type | Context |
|---|---|---|
| Bank of America Merrill Lynch |
Creator of the Global Equity Volatility Insights report.
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| BofA Merrill Lynch Global Research |
Cited as the source of the data in the table.
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| House Oversight Committee |
Implied by the Bates stamp 'HOUSE_OVERSIGHT_025986' indicates this document was part of a congressional investigation.
|
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Table 2: Current S&P500 volatility and correlation measures relative to the prior two year of historical daily data
1-week change
5-Aug-16 29-Jul-16 Change
Current ranking
Over 2-year historical period
Minimum 25% Median 75% Maximum
5-Aug-16 29-Jul-16 Change
Current ranking
Over 2-year historical period
Minimum 25% Median 75% Maximum
1-month ATM implied volatility
9.1% 9.9% -0.8% 0.1% 9.0% 11.2% 12.7% 15.4% 31.8%
1-year ATM implied volatility
15.4% 16.0% -0.6% 13.1% 14.4% 15.8% 16.5% 17.6% 22.5%
1-week intraday realized volatility
8.6% 9.9% -1.3% 11.5% 6.1% 10.1% 12.1% 16.4% 53.7%
9.1% 9.9% -0.8% 0.1% 9.0% 11.2% 12.7% 15.4% 31.8%
1-year ATM implied volatility
15.4% 16.0% -0.6% 13.1% 14.4% 15.8% 16.5% 17.6% 22.5%
1-week intraday realized volatility
8.6% 9.9% -1.3% 11.5% 6.1% 10.1% 12.1% 16.4% 53.7%
1-year minus 1-month term structure
6.4% 6.1% 0.3% 100.0% -12.0% 2.1% 3.7% 4.6% 6.4%
3-month 90 minus 110 skew
9.5% 9.6% -0.1% 3.1% 9.1% 11.1% 11.5% 11.9% 13.8%
6.4% 6.1% 0.3% 100.0% -12.0% 2.1% 3.7% 4.6% 6.4%
3-month 90 minus 110 skew
9.5% 9.6% -0.1% 3.1% 9.1% 11.1% 11.5% 11.9% 13.8%
1-year top 50 implied correlation
50.31 55.08 -4.77 3.3% 48.38 53.81 55.57 57.90 67.89
3-month top 50 realized correlation
47.71 51.08 -3.38 74.9% 25.85 33.29 39.89 47.71 60.41
50.31 55.08 -4.77 3.3% 48.38 53.81 55.57 57.90 67.89
3-month top 50 realized correlation
47.71 51.08 -3.38 74.9% 25.85 33.29 39.89 47.71 60.41
VIX 1-month ATMf implied vol
82.6% 88.8% -6.2% 40.3% 62.1% 77.4% 86.1% 98.1% 162.2%
VIX 1-month 110 minus 90 skew
20.0% 22.2% -2.2% 39.7% 9.3% 17.9% 20.9% 23.9% 30.3%
82.6% 88.8% -6.2% 40.3% 62.1% 77.4% 86.1% 98.1% 162.2%
VIX 1-month 110 minus 90 skew
20.0% 22.2% -2.2% 39.7% 9.3% 17.9% 20.9% 23.9% 30.3%
Source: BofA Merrill Lynch Global Research
Bank of America Merrill Lynch
Global Equity Volatility Insights | 09 August 2016 9
HOUSE_OVERSIGHT_025986
Global Equity Volatility Insights | 09 August 2016 9
HOUSE_OVERSIGHT_025986
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