TWSE 3M 25d-Call IV over SPX is near its 4-year highs Table 6 lists Asian index pairs with the highest IV ratio vs. their 4-year histories. For instance, the ratio of TWSE 3M 25d-Call vol over SPX is near its 4-year highs. Chart 38: The ratio of TWSE 3M 25d-Call IV over SPX is near its 4-yr Table 6: Index pairs with the highest implied vol ratio vs. their histories highs (Daily data from 1-Jan-11 through 5-Aug-16) (data as of S-Aug-16) ——TWSE 3M 25d-Call vol SPX 3M 25d-Call vol ——Volratio Index A Index B AB Implied Ratio 4-yr 40% 16 (Implied vol} — (Implied Vol} Volratio —_ percentile ° 3M ATM TWSE (14.6%) SPX (11.8%) 1.23 97% 35% 15 6M ATM SX5E (20.0%) SPX (13.7%) 1.46 96% qh aa 12M ATM SX5E (20.2%) SPX (15.4%) 131 98% 30% —_ S .., 13 3M 25d-Put TWSE (17.1%) — SPX (15.5%) 1.10 97% 3 20% oe 6M 25d-Put TWSE (17.8%) SPX (17.9%) 0.99 93% S ans i “e 12M 25c-Put SX5E (24.2%) SPX (19.9%) 122 96% 2 20% ' A ‘4 i + 15% ot, " Li ih j if vg! “0 3M 25d-Call TWSE (13.9%) — SPX (9.9%) 141 97% YY “an "ai A 6M 25d-Call SX5E (17.5%) — SPX (11.3%) 154 97% 10% ’ 09 12M 25d-Call SX5E (18.2%) SPX (12.8%) 142 98% 5% 08 Source: BofA Merrill Lynch Global Research ° —- re Ke NNNmMmMOmstttnoMMono , * Index universe includes the ASX200, HSCEI, HSI, KOSPI2, NIFTY, NKY, TWSE, SPX and SX5E ERBALBRALSRALBRALSRSAESR * mid level implied vol oT OO DTD OTTO THO Tos SBRH SSH SSHSSHSSE ASS Source: BofA Merrill Lynch Global Research. Daily data from 71-Jan-11 through 5-Aug-16 Merion Global Equity Volatility Insights | 09 August 2016 19 HOUSE_OVERSIGHT_025996