Volatility in Numbers (05-Aug-16) Table 9: Statistics on implied, realised, skew and term structure for 3-month and 12-month vols (developed markets) 3-month 12-month $&P500 ESTX50 FTSE DAX NKY HSI KOSPI S&P500 ESTX50 FTSE DAX NKY HSI KOSPI Implied 11.9% 19.2% 12.6% 17.8% 21.7% 175% 12.6% 154% 20.2% 15.9% 196% 21.1% 186% 15.0% Stile (2yr) 44% 30.2% 20.2% 19.0% 51.5% 30.4% 18.1% 13.1% 46.0% 46.2% 33.7% 532% 343% 244% 1Week Change -0.7% -0.6% -0.7% -1.1% -1.1% -0.6% 0.4% -0.6% 0.4% 0.2% 07% 07% 02% 02% ‘Mh Change 25% 8.2% 5% 58% 19% 18% _——H% 18% 26% 19% 28% 1.0% 05% 0.2% Realised 13.1% 27.5% 189% 24.4% 27.0% 173% 128% 170% 26.1% 205% 256% 204% 21.9% 143% Stile (2yr) 45.0% 79.9% 69.6% 68.9% 69.1% 42.2% 65.9% 95.6% 94.3% 96.4% 958% 984% 738% 967% 1Week Change 0.1% 04% 0.2% -0.1% -1.2% -0.3% 0.6% 0.0% -0.2% 0.1% 0.0% 0.1% 0.1% 0.1% AMthChange 04% 09% A 9% AT NA 8% 2% 1% 1% 02% AH 1% 0.1% Imp-real spread -1.2% 8.3% 6A% 6.6% 5.3% 0.2% -0.3% -1.6% -5.9% 46% 6.0% 83% -33% 0.8% Spread %tile (2yr) 19.8% 3.1% 8.3% 48% 22.5% 37.9% 18.1% 0.2% 0.0% 0.0% 0.0% 0.0% 9.5% 0.8% Week Change -0.6% -0.9% -0.9% -1.0% 0.2% -0.3% -1.0% -0.6% -0.2% -0.3% 07% 08% 01% 03% ‘Mh Change 2.1% AGM AT% 53% 08% 07% 1% -1M% = 25% 1.8% = 26% 1.2% = 1.1% 0.1% 90-110 skew 95% 84% 75% 8.6% 5.1% 54% 5.2% Stile (2yr) 3.3% 78.5% 94% 77.6% 53.4% 69.2% 64.2% 1Week Change 0.2% 0.1% 0.0% 04% 0.2% 0.2% -0.7% 1Mth Change -2.6% 0.4% -3.2% -0.5% -1.2% -1.3% -0.6% 10-day realised 12M - 3M term vol spread $&P500 ESTX50 FTSE DAX NKY HSI KOSPI S&P500 ESTX50 FTSE DAX NKY HSI KOSPI Current Level 6.0% 15.7% 10.5% 13.3% 186% 14.9% 11.9% 3.5% 1.0% 3.4% 1.8% -0.5% 1.1% 24% Stile (2yr) 71% 22.0% 24.1% 9.3% 45.6% 36.7% 52.8% 98.3% 86.6% 100.0% 96.0% 508% 69.2% 722% ‘Week Change 16% 5.2% 4.9% 24% 2.1% 45% 6.8% 0.1% 0.2% 0.5% 0.4% 0.4% 0.5% 0.3% 1Mth Change -20.0% 37.1% — -23.2% -30.1% -26.1% 6.7% -5.3% 0.9% 2.5% 3.2% 2.9% 0.9% 1.3% 0.3% Cash index Current Level 2,182.87 2,973.71 6.79347 10,367.21 16,254.45 22,146.09 252.36