Chart 40: Volatility measures of major Asian indices (data as of 02-Jun-17) 3Mth ATM Implied Volatility 10D Realized Volatility 12Mth-1Mth ATM Vol Spread 3Mth 90-110 Skew Spread Equity Market Weekly 4Yr Weekly 4Yr Weekly 4Yr Weekly 4Yr Weekly Current change percentile Current change percentile Current change percentile Current change percentile return HSI 124% 0.3% 14% 5A% 24% 0.3% 5.1% 0.4% 99.1% 23% 04% 19.9% 1.1% HSCE| 15.7% 0.3% 1.8% 92% 5.1% 16% 43% 0.2% 93.6% 0.4% 0.0% 20.4% 0.8% NKY 14.2% -0.2% 0.3% 10.7% 1.0% 13.4% 42% -0.4% 93.8% 5.0% -1.0% 59.4% 2.5% KOSPI 200 12.8% -0.3% 34.5% 9.8% 2.6% 36.9% 2.9% 0.7% 44 8% 3.0% 0.2% 15.8% 0.3% ASX 200 11.5% -0.1% 12.8% 85% -0.7% 20.5% 3.5% 0.3% 86.5% 6.3% -0.2% 20.1% 0.6% NIFTY 10.5% 0.7% 0.7% 97% -2.2% 18.9% 3.8% -0.5% 14.0% 5.5% 0.1% 53.0% 0.6% TWSE 10.7% 0.3% 82% 12% 1.5% 14.1% 2.9% 0.4% 12.6% -1.5% -0.1% 0.0% 0.5% Source: BofA Merrill Lynch Global Research Chart 41: Index correlation is generally further away from their 10-year Except for the ASX200, Asian stock and index vols are more lows while index and stock vols are near their lows, except for ASX200 depressed than index correlation fe} 20% ; 22% Today’s ultra-low Asian index realized volatility is largely driven wo 20% alin by depressed single stock realized volatility and low realized = correlation. Stock and index volatilities are generally more S (Gre depressed than index correlation. For instance, the KOSPI2 3- 2 18% 13% month realized correlation (0.13) is the highest relative to its wo . ; or ar 2 ga 10° history (at its 22"? percentile since 2008) as foreign inflows 10% ; have pushed the index to an all-time high and have driven 5 Ba BY correlation up. Korean market activities used to be dominated ~ 5% ial 30, by domestic sector rotation trades. 0% gate Oe On the other hand, ASX200 correlation is relatively depressed as HSI HSCEI NKY KOSPI2 ASI the correlation between the banks and materials sectors has m3M Stock Vol = 3M Index Vol mi Index Correlation