Chart 29: The ratio of AS51 3M ATM IV over HSCEl is at its 4-yr high Table 8: Index pairs’ with the highest implied vol ratio vs their histories (Daily data from 1-Oct-12 through 16-Jun-17) (data as of 16-Jun-17) ——AS51 3MATM vol «= —=HSCEIATMvol ~=§-—=Vol ratio Index A Index B AIB Implied — Ratio 4-yr ABY% 0.90 (Implied vol} — (Implied Vol} Volratio —_ percentile . 3M ATM AS51 (11.8%) HSCEI (15.0%) 0.79 100% 40% 6M ATM KOSPI2 (13.2%) HSCEI (17.1%) 0.77 98% - (ip) 0.80 12M ATM KOSPI2 (14.6%) NIFTY (14.0%) 1.04 98% ‘0 ] = 30% az 3M 25d-Put —AS51 (13.8%) HSCEI (16.3%) 0.85 99% = ; iv 4 “eo 6M 25d-Put KOSPI2 (14.4%) HSCEI (18.7%) 077 98% & 25% | | | iv 1 | & 12M 25d-Put KOSPI2 (16.0%) HSCEI (20.5%) 0.78 99% a Le | ly e 0.60 £ P ale 9 Ih id ‘a i "a 3M 25¢-Call AS51 (10.9%) HSCEI (15.0%) 073 99% 15% } 6M 25d-Call KOSPI2 (12.8%) NKY (14.4%) 0.89 98% 708 é 0.50 12M 25d-Call KOSPI2 (14.2%) NIFTY (12.2%) 116 98% ° Source: BofA Merrill Lynch Global Research 5% 0.40 * Index universe includes the ASX200, HSCEI, HSI, KOSPI2, NIFTY, NKY, TWSE, SPX and SX5E eee titre e222 2 25 5 * mid level implied vol oe&o5& FS && PSESSEE ST > Sn FO SYN FO EWM 7D EN FO Source: BofA Merrill Lynch Global Research ; see, es Bankof America 20 Global Equity Volatility Insights | 20 June 2017 Merrill Lynch HOUSE_OVERSIGHT_014991