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This document is page 14 of a 'Global Equity Volatility Insights' report produced by Bank of America Merrill Lynch on August 9, 2016. It contains technical financial data, including charts and tables tracking volatility measures of major equity indices (ESTX50, FTSE, DAX, etc.) and European sector indices (Banks, Auto, Health, etc.). While the document bears a House Oversight Committee Bates stamp, suggesting it was part of a document production (likely related to investigations into financial institutions connected to Epstein), the content itself is purely market analysis with no personal names or communications.
Organizations (2)
| Name | Type | Context |
|---|---|---|
| Bank of America Merrill Lynch |
Producer of the 'Global Equity Volatility Insights' report.
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| House Oversight Committee |
Implied by the Bates stamp 'HOUSE_OVERSIGHT_025991', indicating this document was part of a congressional investigati...
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Locations (2)
| Location | Context |
|---|---|
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Europe, Middle East, and Africa; region covered by the equity indices analysis.
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Specific focus of the sector snapshot (European volatility).
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Key Quotes (1)
"The current vega outstanding in the ESTX50-linked structured products is EUR 143mn, which is in the 97th percentile since 3-Jan-14"Source
HOUSE_OVERSIGHT_025991.jpg
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Chart 27: The current vega outstanding in the ESTX50-linked structured products is EUR 143mn, which is in the 97th percentile since 3-Jan-14
EUR Mn — SX5E structured products vega notional
......... Current SX5E structured products vega notional outstanding
160
140 97th percentile
120
100
80
60
Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16
Source: BofA Merrill Lynch Global Research. Data as of 4-Aug-16
EUR Mn — SX5E structured products vega notional
......... Current SX5E structured products vega notional outstanding
160
140 97th percentile
120
100
80
60
Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16
Source: BofA Merrill Lynch Global Research. Data as of 4-Aug-16
Table 3: Volatility measures of major equity indices in the EMEA region (data as of 05-Aug-16)
3Mth ATM implied volatility 10D realised volatility 12Mth–3Mth ATM i-vol spread 3Mth 90-110 skew Equity index
Weekly Weekly Weekly Weekly Weekly
Current change 2Yr percentile Current change 2Yr percentile Current change 2Yr percentile Current change 2Yr percentile return
ESTX50 19.2% -0.6% 31% 16.6% 5.6% 29% 1.0% 0.2% 87% 8.4% -0.1% 79% -0.6%
FTSE 12.6% -0.7% 21% 10.9% 5.2% 29% 3.4% 0.5% 100% 7.5% 0.0% 10% 1.0%
DAX 17.8% -1.1% 19% 13.6% 2.9% 11% 1.8% 0.4% 96% 8.6% -0.4% 78% 0.3%
CAC 18.5% -0.7% 30% 15.4% 5.3% 27% 0.9% 0.3% 88% 8.6% 0.3% 86% -0.7%
SMI 13.8% -1.2% 25% 14.5% 3.6% 51% 1.7% 0.6% 100% 7.6% -0.8% 57% 0.8%
RDXUSD 28.2% -1.6% 6% 19.5% 9.2% 8% 1.1% 0.3% 89% 6.0% -0.1% 15% 1.7%
TOP40 19.4% 0.3% 59% 11.1% 2.1% 19% 2.3% 0.1% 91% 8.7% -0.2% 63% -1.2%
ISE30 29.9% -0.1% 96% 25.2% -21.6% 76% -0.9% 0.0% 7% 6.3% 0.1% 77% 1.0%
Source: BofA Merrill Lynch Global Research
3Mth ATM implied volatility 10D realised volatility 12Mth–3Mth ATM i-vol spread 3Mth 90-110 skew Equity index
Weekly Weekly Weekly Weekly Weekly
Current change 2Yr percentile Current change 2Yr percentile Current change 2Yr percentile Current change 2Yr percentile return
ESTX50 19.2% -0.6% 31% 16.6% 5.6% 29% 1.0% 0.2% 87% 8.4% -0.1% 79% -0.6%
FTSE 12.6% -0.7% 21% 10.9% 5.2% 29% 3.4% 0.5% 100% 7.5% 0.0% 10% 1.0%
DAX 17.8% -1.1% 19% 13.6% 2.9% 11% 1.8% 0.4% 96% 8.6% -0.4% 78% 0.3%
CAC 18.5% -0.7% 30% 15.4% 5.3% 27% 0.9% 0.3% 88% 8.6% 0.3% 86% -0.7%
SMI 13.8% -1.2% 25% 14.5% 3.6% 51% 1.7% 0.6% 100% 7.6% -0.8% 57% 0.8%
RDXUSD 28.2% -1.6% 6% 19.5% 9.2% 8% 1.1% 0.3% 89% 6.0% -0.1% 15% 1.7%
TOP40 19.4% 0.3% 59% 11.1% 2.1% 19% 2.3% 0.1% 91% 8.7% -0.2% 63% -1.2%
ISE30 29.9% -0.1% 96% 25.2% -21.6% 76% -0.9% 0.0% 7% 6.3% 0.1% 77% 1.0%
Source: BofA Merrill Lynch Global Research
European volatility: Sector snapshot
Table 4: Volatility measures and indicative option prices for major European sector indices (data as of 05-Aug-16)
Bearish <<<< -------------------------------------------------- >>>> Bullish
3Mth ATM implied volatility Real vol* 3Mth 95%-85% put spread** 3Mth 100%-110% call spread** 3Mth 90%-110% risk reversal** Equity index
Current price (% of spot) Weekly change (bps) 2Yr %-ile Max payout ratio Current price (% of spot) Weekly change (bps) 2Yr %-ile Max payout ratio Current price*** (% of spot) Weekly change (bps) 2Yr %-ile Weekly return
SX3P (Fd&Bv) 13.0% -2.7% 6% 12.9% 0.9% -27 15% 11.7 2.5% -18 19% 3.9 -0.5% -33 20% -0.5%
SX6P (Utils) 16.4% -1.0% 32% 20.6% 1.2% -10 31% 8.3 3.0% -11 45% 3.3 -0.6% 0 22% -1.7%
SX7E (Banks) 33.5% -2.3% 76% 48.0% 2.6% -13 82% 3.9 4.0% -7 75% 2.5 -0.5% 0 37% -1.8%
SX7P (Banks) 28.2% -2.8% 75% 39.8% 2.2% -7 77% 4.6 3.8% -17 71% 2.7 -0.5% 17 35% 0.0%
SXAP (Auto) 25.5% -1.1% 56% 33.4% 2.0% -7 52% 4.9 3.7% -8 64% 2.7 -0.6% 3 21% 0.6%
SXDP (Health) 15.3% -0.5% 24% 12.7% 1.1% -5 27% 9.1 2.8% -7 35% 3.5 -0.4% 3 16% -0.9%
SXEP (Oil&Gas) 23.5% -0.4% 44% 23.6% 1.9% -2 44% 5.4 3.6% -4 44% 2.8 -0.6% 3 28% -0.4%
SXIP (Insur) 23.6% -0.4% 86% 31.7% 1.8% -2 84% 5.6 3.6% -3 88% 2.8 -0.6% 2 15% 0.8%
SXKP (Telecom) 22.4% -0.2% 81% 23.4% 1.7% -1 75% 5.9 3.6% -2 87% 2.8 -0.7% 1 7% 0.5%
SXNP (Indust) 21.5% 0.0% 67% 21.9% 1.7% 0 71% 5.8 3.4% 0 66% 2.9 -0.4% 1 74% 0.2%
SXPP (Basic) 32.4% -1.6% 53% 29.7% 2.5% -7 53% 3.9 3.9% -5 59% 2.5 -0.4% 2 8% 1.3%
SXQP (Prsnl&HH Gds) 15.4% 0.0% 33% 16.9% 1.0% 0 25% 9.7 2.8% -1 34% 3.5 -0.5% 1 17% 0.0%
SXRP (Retail) 22.1% -0.1% 90% 23.4% 1.7% 0 89% 5.9 3.5% -1 94% 2.8 -0.6% 1 7% 0.5%
SXTP (Trvl&Lsre) 19.9% -0.1% 55% 26.9% 1.7% -1 65% 6.0 3.2% -1 53% 3.1 -0.2% -1 69% 0.4%
Source: BofA Merrill Lynch Global Research *Real vol = EWMA (Exponentially Weighted Moving Average) volatility, which measures historical price volatility but assigns greater importance to recent returns. Sigma(t)^2 = 0.94*Sigma(t-1)^2+(1-0.94)*r(t)^2, where r(t) is the return on day t. **Indicative mid prices; strikes as % of forward ***Negative values indicate that the bullish risk reversal takes in a credit.
Table 4: Volatility measures and indicative option prices for major European sector indices (data as of 05-Aug-16)
Bearish <<<< -------------------------------------------------- >>>> Bullish
3Mth ATM implied volatility Real vol* 3Mth 95%-85% put spread** 3Mth 100%-110% call spread** 3Mth 90%-110% risk reversal** Equity index
Current price (% of spot) Weekly change (bps) 2Yr %-ile Max payout ratio Current price (% of spot) Weekly change (bps) 2Yr %-ile Max payout ratio Current price*** (% of spot) Weekly change (bps) 2Yr %-ile Weekly return
SX3P (Fd&Bv) 13.0% -2.7% 6% 12.9% 0.9% -27 15% 11.7 2.5% -18 19% 3.9 -0.5% -33 20% -0.5%
SX6P (Utils) 16.4% -1.0% 32% 20.6% 1.2% -10 31% 8.3 3.0% -11 45% 3.3 -0.6% 0 22% -1.7%
SX7E (Banks) 33.5% -2.3% 76% 48.0% 2.6% -13 82% 3.9 4.0% -7 75% 2.5 -0.5% 0 37% -1.8%
SX7P (Banks) 28.2% -2.8% 75% 39.8% 2.2% -7 77% 4.6 3.8% -17 71% 2.7 -0.5% 17 35% 0.0%
SXAP (Auto) 25.5% -1.1% 56% 33.4% 2.0% -7 52% 4.9 3.7% -8 64% 2.7 -0.6% 3 21% 0.6%
SXDP (Health) 15.3% -0.5% 24% 12.7% 1.1% -5 27% 9.1 2.8% -7 35% 3.5 -0.4% 3 16% -0.9%
SXEP (Oil&Gas) 23.5% -0.4% 44% 23.6% 1.9% -2 44% 5.4 3.6% -4 44% 2.8 -0.6% 3 28% -0.4%
SXIP (Insur) 23.6% -0.4% 86% 31.7% 1.8% -2 84% 5.6 3.6% -3 88% 2.8 -0.6% 2 15% 0.8%
SXKP (Telecom) 22.4% -0.2% 81% 23.4% 1.7% -1 75% 5.9 3.6% -2 87% 2.8 -0.7% 1 7% 0.5%
SXNP (Indust) 21.5% 0.0% 67% 21.9% 1.7% 0 71% 5.8 3.4% 0 66% 2.9 -0.4% 1 74% 0.2%
SXPP (Basic) 32.4% -1.6% 53% 29.7% 2.5% -7 53% 3.9 3.9% -5 59% 2.5 -0.4% 2 8% 1.3%
SXQP (Prsnl&HH Gds) 15.4% 0.0% 33% 16.9% 1.0% 0 25% 9.7 2.8% -1 34% 3.5 -0.5% 1 17% 0.0%
SXRP (Retail) 22.1% -0.1% 90% 23.4% 1.7% 0 89% 5.9 3.5% -1 94% 2.8 -0.6% 1 7% 0.5%
SXTP (Trvl&Lsre) 19.9% -0.1% 55% 26.9% 1.7% -1 65% 6.0 3.2% -1 53% 3.1 -0.2% -1 69% 0.4%
Source: BofA Merrill Lynch Global Research *Real vol = EWMA (Exponentially Weighted Moving Average) volatility, which measures historical price volatility but assigns greater importance to recent returns. Sigma(t)^2 = 0.94*Sigma(t-1)^2+(1-0.94)*r(t)^2, where r(t) is the return on day t. **Indicative mid prices; strikes as % of forward ***Negative values indicate that the bullish risk reversal takes in a credit.
14 Global Equity Volatility Insights | 09 August 2016
Bank of America Merrill Lynch
HOUSE_OVERSIGHT_025991
Bank of America Merrill Lynch
HOUSE_OVERSIGHT_025991
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