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This document is page 21 of a 'Global Equity Volatility Insights' report produced by Bank of America Merrill Lynch, dated August 9, 2016. It contains statistical data tables (Table 9 and Table 10) detailing market volatility metrics for developed and emerging markets as of August 5, 2016. The document bears the Bates stamp 'HOUSE_OVERSIGHT_025998', indicating it was part of a production to the House Oversight Committee, likely related to investigations involving financial records.
Organizations (2)
| Name | Type | Context |
|---|---|---|
| Bank of America Merrill Lynch | ||
| BofA Merrill Lynch Global Research |
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Volatility in Numbers (05-Aug-16)
Table 9: Statistics on implied, realised, skew and term structure for 3-month and 12-month vols (developed markets)
Table 9: 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 11.9% 19.2% 12.6% 17.8% 21.7% 17.5% 12.6%
%tile (2yr) 4.4% 30.2% 20.2% 19.0% 51.5% 30.4% 18.1%
1Week Change -0.7% -0.6% -0.7% -1.1% -1.1% -0.6% -0.4%
1Mth Change -2.5% -5.2% -5.1% -5.8% -1.9% -1.8% -0.5%
Realised 13.1% 27.5% 18.9% 24.4% 27.0% 17.3% 12.8%
%tile (2yr) 45.0% 79.9% 69.6% 68.9% 69.1% 42.2% 65.9%
1Week Change -0.1% 0.4% 0.2% -0.1% -1.2% -0.3% 0.6%
1Mth Change -0.4% -0.5% -0.4% -0.5% -2.7% -1.1% 0.8%
Imp-real spread -1.2% -8.3% -6.4% -6.6% -5.3% 0.2% -0.3%
Spread %tile (2yr) 19.8% 3.1% 8.3% 4.8% 22.5% 37.9% 18.1%
1Week Change -0.6% -0.9% -0.9% -1.0% 0.2% -0.3% -1.0%
1Mth Change -2.1% -4.6% -4.7% -5.3% 0.8% -0.7% -1.3%
90-110 skew 9.5% 8.4% 7.5% 8.6% 5.1% 5.4% 5.2%
%tile (2yr) 3.3% 78.5% 9.4% 77.6% 53.4% 69.2% 64.2%
1Week Change -0.2% -0.1% 0.0% -0.4% -0.2% -0.2% -0.7%
1Mth Change -2.6% -0.4% -3.2% -0.5% -1.2% -1.3% -0.6%
S&P500 ESTX50 FTSE DAX NKY HSI KOSPI
Implied 11.9% 19.2% 12.6% 17.8% 21.7% 17.5% 12.6%
%tile (2yr) 4.4% 30.2% 20.2% 19.0% 51.5% 30.4% 18.1%
1Week Change -0.7% -0.6% -0.7% -1.1% -1.1% -0.6% -0.4%
1Mth Change -2.5% -5.2% -5.1% -5.8% -1.9% -1.8% -0.5%
Realised 13.1% 27.5% 18.9% 24.4% 27.0% 17.3% 12.8%
%tile (2yr) 45.0% 79.9% 69.6% 68.9% 69.1% 42.2% 65.9%
1Week Change -0.1% 0.4% 0.2% -0.1% -1.2% -0.3% 0.6%
1Mth Change -0.4% -0.5% -0.4% -0.5% -2.7% -1.1% 0.8%
Imp-real spread -1.2% -8.3% -6.4% -6.6% -5.3% 0.2% -0.3%
Spread %tile (2yr) 19.8% 3.1% 8.3% 4.8% 22.5% 37.9% 18.1%
1Week Change -0.6% -0.9% -0.9% -1.0% 0.2% -0.3% -1.0%
1Mth Change -2.1% -4.6% -4.7% -5.3% 0.8% -0.7% -1.3%
90-110 skew 9.5% 8.4% 7.5% 8.6% 5.1% 5.4% 5.2%
%tile (2yr) 3.3% 78.5% 9.4% 77.6% 53.4% 69.2% 64.2%
1Week Change -0.2% -0.1% 0.0% -0.4% -0.2% -0.2% -0.7%
1Mth Change -2.6% -0.4% -3.2% -0.5% -1.2% -1.3% -0.6%
12-month
S&P500 ESTX50 FTSE DAX NKY HSI KOSPI
15.4% 20.2% 15.9% 19.6% 21.1% 18.6% 15.0%
13.1% 46.0% 46.2% 33.7% 53.2% 34.3% 24.4%
-0.6% -0.4% -0.2% -0.7% -0.7% -0.2% -0.2%
-1.6% -2.6% -1.9% -2.8% -1.0% -0.5% -0.2%
17.0% 26.1% 20.5% 25.6% 29.4% 21.9% 14.3%
95.6% 94.3% 96.4% 95.8% 98.4% 73.8% 96.7%
0.0% -0.2% 0.1% 0.0% 0.1% -0.1% 0.1%
-0.2% -0.1% -0.1% -0.2% 0.2% -1.6% -0.1%
-1.6% -5.9% -4.6% -6.0% -8.3% -3.3% 0.8%
0.2% 0.0% 0.0% 0.0% 0.0% 9.5% 0.8%
-0.6% -0.2% -0.3% -0.7% -0.8% -0.1% -0.3%
-1.4% -2.5% -1.8% -2.6% -1.2% 1.1% -0.1%
S&P500 ESTX50 FTSE DAX NKY HSI KOSPI
15.4% 20.2% 15.9% 19.6% 21.1% 18.6% 15.0%
13.1% 46.0% 46.2% 33.7% 53.2% 34.3% 24.4%
-0.6% -0.4% -0.2% -0.7% -0.7% -0.2% -0.2%
-1.6% -2.6% -1.9% -2.8% -1.0% -0.5% -0.2%
17.0% 26.1% 20.5% 25.6% 29.4% 21.9% 14.3%
95.6% 94.3% 96.4% 95.8% 98.4% 73.8% 96.7%
0.0% -0.2% 0.1% 0.0% 0.1% -0.1% 0.1%
-0.2% -0.1% -0.1% -0.2% 0.2% -1.6% -0.1%
-1.6% -5.9% -4.6% -6.0% -8.3% -3.3% 0.8%
0.2% 0.0% 0.0% 0.0% 0.0% 9.5% 0.8%
-0.6% -0.2% -0.3% -0.7% -0.8% -0.1% -0.3%
-1.4% -2.5% -1.8% -2.6% -1.2% 1.1% -0.1%
10-day realised
S&P500 ESTX50 FTSE DAX NKY HSI KOSPI
Current Level 6.0% 15.7% 10.5% 13.3% 18.6% 14.9% 11.9%
%tile (2yr) 7.1% 22.0% 24.1% 9.3% 45.6% 36.7% 52.8%
1Week Change 1.6% 5.2% 4.9% 2.4% 2.1% 4.5% 6.8%
1Mth Change -20.0% -37.1% -23.2% -30.1% -26.1% -6.7% -5.3%
S&P500 ESTX50 FTSE DAX NKY HSI KOSPI
Current Level 6.0% 15.7% 10.5% 13.3% 18.6% 14.9% 11.9%
%tile (2yr) 7.1% 22.0% 24.1% 9.3% 45.6% 36.7% 52.8%
1Week Change 1.6% 5.2% 4.9% 2.4% 2.1% 4.5% 6.8%
1Mth Change -20.0% -37.1% -23.2% -30.1% -26.1% -6.7% -5.3%
12M - 3M term vol spread
S&P500 ESTX50 FTSE DAX NKY HSI KOSPI
3.5% 1.0% 3.4% 1.8% -0.5% 1.1% 2.4%
98.3% 86.6% 100.0% 96.0% 50.8% 69.2% 72.2%
0.1% 0.2% 0.5% 0.4% 0.4% 0.5% 0.3%
0.9% 2.5% 3.2% 2.9% 0.9% 1.3% 0.3%
S&P500 ESTX50 FTSE DAX NKY HSI KOSPI
3.5% 1.0% 3.4% 1.8% -0.5% 1.1% 2.4%
98.3% 86.6% 100.0% 96.0% 50.8% 69.2% 72.2%
0.1% 0.2% 0.5% 0.4% 0.4% 0.5% 0.3%
0.9% 2.5% 3.2% 2.9% 0.9% 1.3% 0.3%
Cash index
Current Level 2,182.87 2,973.71 6,793.47 10,367.21 16,254.45 22,146.09 252.36
1Wk Change 0.43% -0.57% 1.03% 0.29% -1.90% 1.16% 0.35%
1Mth Change 4.52% 5.72% 3.79% 8.76% 3.73% 6.72% 2.21%
Source: BofA Merrill Lynch Global Research
Current Level 2,182.87 2,973.71 6,793.47 10,367.21 16,254.45 22,146.09 252.36
1Wk Change 0.43% -0.57% 1.03% 0.29% -1.90% 1.16% 0.35%
1Mth Change 4.52% 5.72% 3.79% 8.76% 3.73% 6.72% 2.21%
Source: BofA Merrill Lynch Global Research
Table 10: 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 18.8% 21.7% 28.2% 19.4%
%tile (2yr) 34.5% 2.4% 5.5% 59.1%
1Wk Change -0.8% 0.0% -1.6% 0.3%
1Mth Change -3.6% -3.0% -3.8% -2.3%
Realised 22.1% 21.8% 25.7% 17.9%
%tile (2yr) 65.9% 27.2% 20.8% 47.5%
1Wk Change -0.8% -0.5% -0.6% -0.4%
1Mth Change -1.5% -4.4% -4.2% -0.3%
Imp-real spread -3.2% -0.1% 2.6% 1.5%
Spread %tile (2yr) 12.9% 44.2% 52.4% 51.1%
1Wk Change -0.1% 0.5% -1.0% 0.7%
1Mth Change -2.1% 1.4% 0.4% -2.0%
90-110 skew 7.8% 5.3% 6.0% 8.7%
%tile (2yr) 63.8% 48.5% 14.8% 62.6%
1Wk Change 0.3% 0.0% -0.1% -0.2%
1Mth Change 0.0% -0.5% -0.8% -0.6%
EEM US IBOV RDXUSD TOP40
Implied 18.8% 21.7% 28.2% 19.4%
%tile (2yr) 34.5% 2.4% 5.5% 59.1%
1Wk Change -0.8% 0.0% -1.6% 0.3%
1Mth Change -3.6% -3.0% -3.8% -2.3%
Realised 22.1% 21.8% 25.7% 17.9%
%tile (2yr) 65.9% 27.2% 20.8% 47.5%
1Wk Change -0.8% -0.5% -0.6% -0.4%
1Mth Change -1.5% -4.4% -4.2% -0.3%
Imp-real spread -3.2% -0.1% 2.6% 1.5%
Spread %tile (2yr) 12.9% 44.2% 52.4% 51.1%
1Wk Change -0.1% 0.5% -1.0% 0.7%
1Mth Change -2.1% 1.4% 0.4% -2.0%
90-110 skew 7.8% 5.3% 6.0% 8.7%
%tile (2yr) 63.8% 48.5% 14.8% 62.6%
1Wk Change 0.3% 0.0% -0.1% -0.2%
1Mth Change 0.0% -0.5% -0.8% -0.6%
12-month
EEM US IBOV RDXUSD TOP40
21.2% 23.5% 29.3% 21.8%
40.7% 22.0% 16.4% 80.2%
-0.9% -0.1% -1.3% 0.4%
-2.2% -1.9% -3.3% -1.0%
24.3% 27.7% 36.2% 20.4%
94.8% 94.0% 45.7% 94.0%
-0.1% 0.0% -0.2% -0.1%
-0.6% -0.2% -0.4% -0.6%
-3.1% -4.3% -6.9% 1.4%
0.2% 0.0% 0.0% 16.6%
-0.9% 0.0% -1.1% 0.6%
-1.6% -1.7% -2.9% -0.4%
EEM US IBOV RDXUSD TOP40
21.2% 23.5% 29.3% 21.8%
40.7% 22.0% 16.4% 80.2%
-0.9% -0.1% -1.3% 0.4%
-2.2% -1.9% -3.3% -1.0%
24.3% 27.7% 36.2% 20.4%
94.8% 94.0% 45.7% 94.0%
-0.1% 0.0% -0.2% -0.1%
-0.6% -0.2% -0.4% -0.6%
-3.1% -4.3% -6.9% 1.4%
0.2% 0.0% 0.0% 16.6%
-0.9% 0.0% -1.1% 0.6%
-1.6% -1.7% -2.9% -0.4%
Bank of America Merrill Lynch
Global Equity Volatility Insights | 09 August 2016 21
HOUSE_OVERSIGHT_025998
Global Equity Volatility Insights | 09 August 2016 21
HOUSE_OVERSIGHT_025998
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