Volatility in Numbers (02-Jun-17) Table 8: 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 9.5% 13.0% 10.6% 12.2% 14.2% 12.4% 12.8% 13.8% 16.5% 13.4% 16.1% 17.3% 15.9% 14.8% %atile (2yr) 0.2% 0.0% 3.8% 0.0% 0.8% 2.6% 37.9% 2.6% 2.9% 5.7% 0.8% 3.9% 63% 32.4% 1Week Change -0.1% -0.4% 0.4% -0.7% -0.2% 0.3% -0.3% -0.1% 0.1% 0.3% -0.3% 0.0% 0.2% 0.1% 1MthChange = 0.6% = -14% = 0.1% =~ -13% ~——-0.7% 0.0% 0.9% 03% 0.0% 0.5% 0.4% —-0.2% 0.7% ——*1.6% Realised 73% ~~ 11.1% =91% 100% 125% 103% 110% 96% 168% 12.7% 158% 198% 137% 115% %atile (2yr) 13.9% 11.8% 10.3% 1.0% 2.4% 0.6% 24.3% 1.6% 0.0% 0.0% 0.2% 14.7% 0.2% 24.5% 1Week Change -0.4% -0.7% -0.6% -0.7% 0.1% -0.2% 0.1% 0.0% -0.3% 0.0% -0.1% 0.0% 0.1% 0.0% {MthChange = 0A% = -0.7% == 0.2% = 14% = 0.4% = 0.4% == 2.4% =~ 0.2% =~ -0.7% ~—— 0.3% =~ 05% 0.6% 0.4% 0.4% Imp-real spread 2.3% 19% 14% 23% 17% 22% 18% 41% -02% 08% 03% -25% 22% 33% Spread %tile (2yr) 51.4% 53.4% 61.9% 63.3% 67.8% 69.9% 64.4% 81.5% 79.8% 73.3% 796% 61.2% 88.0% 72.9% 1Week Change 0.3% 0.3% 1.0% 0.0% -0.3% 0.5% -0.4% -0.2% 0.3% 0.3% -0.2% 0.0% 0.3% 0.1% (Mth Change 1.0% 0.6% 03% 0.1% -0.4% 04% ——_-1.4% 0.5% 0.6% 0.9% 01% 04% 1.1% — 1.2% 90-110skew 7.9%) 7.1%) 538%) 7.1%). )~—s—i38%H_— 3H %atile (2yr) 4.6% 16.9% 1.1% 21.5% 19.0% 6.5% 2.7% 1Week Change -0.9% -0.4% -0.4% -0.6% -1.0% -0.4% 0.2% 1Mth Change 0.3% 0.8% -1.5% -0.4% -0.4% -0.7% -14% 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 6.6% 5.8% 4.6% 7.1% 11.1% 7.1% 10.6% 4.2% 3.6% 2.8% 3.8% 3.2% 3.5% 2.0% %atile (2yr) 21.8% 2.1% 0.6% 6.7% 16.3% 0.4% 46.2% 99.6% 100.0% 86.2% 100.0% 99.6% 98.9% 53.1% 1Week Change 4.3% -4.1% -3.2% -0.6% 1.9% -0.9% 2.4% 0.0% 0.4% -0.1% 0.4% 0.2% 0.1% 0.4% 1Mth Change -1.0% -14.4% = -12./% -10.5% -14% -4.8% 0.3% 0.9% 1.3% 0.4% 0.9% 0.5%