Table 6: Summary of open trades as of 5-Jun-17 ae Open Open Expected Trade... Trade Description P P P Rationale Date Level Term Long 1x EEM 3m 97.5% put vs. short ~0.09x units each of 3m 97.5% puts on : EXI. EWY, EWZ, EPI, EWT, RSX, EZA, and EWW 1.5% 0.0% 3m Buy EEM puts financed by a basket of EM puts to lever near record low correl Buy Tencent Jult? 250/300 strangle 22-May-17 2.45% — Jul-17 expiry Hedge the China tech bubble; Tencent unlikely to stand still after a 45% rally YTD Buy A-shares (2823 HK) Jul17 105% call 22-May-17 1.15% — Jul-17 expiry Hedge the upside into MSCI announcement on 20-Jun Fund: tal to be long EU equiti ins intact but stretched bullish positioni Id Buy 1x contract of ESTX50 Jun17 3525, sell 4x contracts of V2X Aug future 22-May-17 1.00% — Jun-17 expiry uneamenna case © se ——eereO beeen lead to near-term consolidation Buy SX5E Dec17 3450-3700 bullish risk reversal vs short IBOXX HY TRS . BofAML Equity & Credit strategists highlight they favour equities over HY credit as div yields have : ; a 30-May-17 1.17% Dec-17 expiry a i” . 7 . . with equal notional sizing surpassed HY credit yield & equities offer more gearing to rising PMI’s, earnings and FCF 6.9% (FB), 1.2% (AMZN), Buy 6m ATM calls on FB, AMZN, NFLX and GOOGL 30-May-17 9 A% 6m Stock replace FANG stocks oe (NFLX), 6.2% {GOOGL) Buy a 6m outperformance call on FANG stocks vs. SPX conditional on SPX> a. . . . 30-May-17 3.4% 6m Lever extremely depressed FANG volatility and low correlation to buy upside current levels at expiry Buy HSI Sep 17 90% put, sell ASX200 Sep-17 90% put 30-May-17 0.15% Sep-17 expiry HSl is unlikely to outperform if AS51 drops more than 10%; HSI vol below AS51 vol Source: BofA Merrill Lynch Global Research. Prices reflective of most recently available data which may be delayed in some cases. “Trade Value” represents current valuation of trades initiated on the “Open Date”. . om . Bankof America 24 Global Equity Volatility Insights | 06 June 2017 Merrill Lynch HOUS