Chart 45: We estimate that structured product issuers are currently long Chart 46: Structured product issuers are currently long ~US$89mn of USS$10mn of KOSPI2 vega HSCEI vega 90 —— i , KOSPI2 Autocall Vega Outstanding Profile 110 HSCEI Autocall Vega Outstanding Profile g, 80 g, 100 rt) rt) S10 PePPeeeEeeeeeeE eee EEE EEE OP ceete EEE TEED 2 70 2 80 sa so | 2 = 50 BE 50 : 8 F 40 Se 40 i Nw ws 30 : aD Oo : ao —30 77) 20 : g = 10 : ‘2 20 2 = AC) fennsennamnsasnesuenansessdeesnesenasuassennmayesdesveusescevecers Mag = 10 _ H uw -20 me SsSSS8B88S8SBSBBSSSBSBESB SSatSaksReeseaR Sesegeseg8ee8ese8e8 8 KOSPI2 Spot Level HSCEI Spot Level Source: BofA Merrill Lynch Global Research. Source: BofA Merrill Lynch Global Research. KOSPI2 3M ATM IV over SPX is at its 4-year high Table5 lists Asian index pairs with the highest IV ratio vs their 4-year histories. For instance, the ratio of KOSPI2 3M ATM IV over SPX is at its 4-year high. Chart 47: The ratio of KOSPI2 3M ATM IV over SPX is at its 4-yr high Table 5: Index pairs with the highest implied vol ratio vs their histories (Daily data from 1-Oct-12 through 02-Jun-17) (data as of 02-Jun-17) ——KOSPI2 3MATMvol ~=-—==SPX3MATM vol ——=Vol ratio Index A Index B AJB Implied Ratio 4-yr 25% 160 (Implied vol} (Implied Vol} Volratio —_ percentile ° 3M ATM KOSPI2 (12.8%) SPX (9.4%) 136 100% 1.50 6M ATM KOSPI2 (13.6%) NIFTY (11.8%) 1.16 99% 12M ATM KOSPI2 (14.8%) NIFTY (13.8% 1.07 99% 20% . (fF) 140 (14.8%) (13.8%) a s . he 1.30 3M 25d-Put KOSPI2 (13.6%) HSCEI (16.4%) 0.83 99% = i 120.9 6M 25d-Put KOSPI2 (14.7%) NIFTY (12.5%) 147 99% & 15% + \ | 3 12M 25d-Put KOSPI2 (16.0%) NIFTY (14.4%) 111 99% a 1 i at re o\ , A 1.100 = "4 h *y eye 1.00 3M 25d-Call KOSPI2 (12.6%) SX5E (11.6%) 1.09 100% 10% 0.90 6M 25d-Call © KOSPI2 (13.4%) NIFTY (10.8%) 1.25 100% 12M 25d-Call KOSPI2 (14.6%) NIFTY (12.0%) 124 100% 0.80 Source: BofA Merrill Lynch Global Research 5% 0.70 * Index universe includes the ASX200, HSCEI, HSI, KOSPI2, NIFTY, NKY, TWSE, SPX and SX