Volatility in Numbers (16-Jun-17) Table 11: Statistics on implied, realised, skew and term structure for 3-month and 12-month vols (developed markets) 3-month {2-month S&P500 ESTX50 FTSE DAX NKY HSI KOSPI S&P500 ESTX50 FTSE DAX NKY HSI KOSPI Implied 9.8% 13.4% 10.0% 12.6% 13.8% 12.4% 12.2% 14.0% 16.8% 13.6% 16.6% 17.2% 15.8% 14.6% %atile (2yr) 1.2% 1.6% 0.6% 0.8% 0.4% 4.1% 19.9% 77% 5.6% 9.5% 5.5% 1.8% 6.3% 24.9% 1Week Change -0.2% 0.3% -0.4% 0.3% -0.2% 0.1% 0.3% 0.1% 0.1% -0.1% 0.1% -0.4% 0.0% 0.1% 1MthChange 0.2% = 0.0% = 0.0% = 04% = 0.5% = -0.3% = 0.2% ~— 0.1% 03% (0.6% = 0.1% 0.2% = 0.2% ~——-0.7% Realised 7.0% 114% 96% 107% 122% 102% 107% 95% 133% 12.2% 15.1% 196% 135% 11.49% %atile (2yr) 11.5% 15.5% 15.6% 9.4% 0.6% 0.8% 21.1% 0.0% 0.0% 0.0% 0.0% 10.8% 1.4% = 20.7% 1Week Change -0.2% 0.2% 0.2% 0.4% -0.3% 0.1% -0.1% -0.1% -3.2% -0.3% -0.4% -0.2% 0.1% = -0.1% Mth Change 0.4% = -0.1% = 0.1% = 0.1% 0.2% =~ -0.5% 0.1% 0.0% 3.8% = 0.7% —--1.0% 0.4% 05% 0.0% Imp-real spread 2.7% 20% 04% 19% 16% 23% 15% 45% 35% 14% 15% -23% 23% 31% Spread %tile (2yr) 57.9% 55.7% 45.1% 57.2% 67.8% 71.3% 58.6% 91.5% 100.0% 85.2% 99.2% 61.6% 89.2% 70.8% 1Week Change -0.1% 0.1% -0.5% -0.2% 0.0% 0.1% 0.4% 0.1% 3.3% 0.2% 0.4% -0.2% 0.1% 0.2% (Mth Change -0.6% 0.1% 0.1% 0.5% -0.2% 02% 0.2% 0.2% 41% 1.3% = 12% = 06% = 0.7% = 0.7% 90-110skew = 85%) BA%—CI%— SMC BMH %atile (2yr) 16.1% 71.8% 8.8% 66.7% 47.9% 17.8% 14.2% 1Week Change 0.2% 0.9% 0.2% 0.7% 0.0% 0.9% 0.8% 1Mth Change 0.5% 24% 1.2% 1.6% 0.2% 0.9% 0.9% 10-day realised 12M - 3M term vol spread S&P500 ESTX50 FTSE DAX NKY HSI KOSPI S&P500 ESTX50 FTSE DAX NKY HSI KOSPI Current Level 3.2% 9.4% 8.3% 12.1% 7.1% 9.9% 10.6% 43% 3.4% 3.6% 3.9% 3.5% 3.4% 24% %atile (2yr) 1.0% 16.3% 21.7% 26.3% 0.8% 15.5% 46.7% 99.8% 98.9% 99.6% 99.6% 98.9% 96.9% 79.5% 1Week Change -1.5% 2.1% 1.2% 2.5% 4.1% 4.6% 0.9% 0.3% -0.2% 0.2% -0.2% -0.2% 0.1% = -0.2% 1Mth Change -0.4% 0.9% 0.4% 5.2% -5.8% 0.1% -6.2% 0.3% 0.3% 0.6% 0.5% 0.7% 0.4% 0.9% Cash index Current Level