content-documents/house-oversight-nov/0b/HOUSE_OVERSIGHT_023580.md

metadata

title: 'House Oversight: Estate Documents (Nov 12) (HOUSE_OVERSIGHT_023580)'
source: 'House Oversight: Estate Documents (Nov 12)'
sourceUrl: https://www.justice.gov/epstein
date: '2026-01-01'
category: House Oversight
eftaNumber: HOUSE_OVERSIGHT_023580
ocrPages: 1
ocrChars: 2480
ocrElapsed: 0
parseTier: external-legacy
engine: engine undisclosed (ep-nov-12.greg.technology mirror)
externalSource: greg-ep-nov-12
externalLicense: not granted
externalCredit: ep-nov-12.greg.technology
externalUrl: https://ep-nov-12.greg.technology

Chart 13: The -2.5% drop in the NDX on 17-May was a six standard deviation (6o) event relative to trailing realized volatility and the fourth worst risk-adjusted daily return since 1985 Chart 14: The 60 sell-off in the NDX on 17-May has helped drive short- dated Tech implied vol higher relative to 5&P vol, although the absolute level of Tech vol still remains historically low 6 4 2 0 -2 -4 -6 -8 -10 40% 35% 30% 25% 20% 15% 10% 5% 0% + Jun-09 NDX vol = 2nd %-ile NDX-SPX vol spread = 94th %-ile 16% 14% 12% 10% 8% 6% 4% 2% 0% Jun-11 Jun-13 Jun-15 Jun-17 85 87 89 91 93 '95 97 99 01 '03 '05 '07 '09 11 13 '15 '17 _ Daily NDX return / trailing (EWMA) vol

• 17-May-17 — NDX 3M ATM implied vol
• NDX - SPX 3M ATM implied vol spread (right) Source: BofA Merrill Lynch Global Research. Daily data from 4-Feb-85 through 2-Jun-17. EWMA = exponentially-weighted moving average realized volatility with lambda = 0.94. Source: BofA Merrill Lynch Global Research. Daily data from 1-Jun-09 through 2-Jun-17. Hedge near-term reversal risk via FANG stock replacement or NDX put spreads As we have previously noted, asset bubbles can be notoriously difficult to trade, as fundamentals give way to chasing higher highs, and derivatives can be a key tool for capturing asset price upside while mitigating reversal risk. Chart 15: Proxy hedge screen for a Nasdaq 100 (NDX) benchmark suggests NDX is the best hedge for itself, as basis risk runs too high with other assets 1 Nov08 (-39% Jul06 (-13%) Mar08 (-18%) Jul10 (-12%) S&P500 6 3 (8 2 Mar09 Mago (15%) ® A0912 (-10%) Feb16 (-13%

10. May 12 (-9%) NDX TWSE HSI NIFTY HSCEI 3 9
11. 9 ESTX50 NIKKEI 9 HYG FTSE 3 104 5 (3 9 RTY 6 8
13. 269
14. 101 4 3 47 3 10 4 18 10 KOSPI Aluminum 5 EEM US 9 TLT* 3(62 ASX200 9 RDXUSD AUDUSD 3 9 GLD* 10 CADUSD 2 5 NZDUSD Copper 6 EURUSD 8 USDJPY 9 BOVESPA TOP40 g 2 Crude Oil
15. 3 GBPUSD 8 2 0.0 267 86
16. 41 2 (6 (3 8 10
17. 2
18. 00%0 7 110 91 G (8 3
19. D$ 0 10 1
20. 1•59 7 10
21. 10 10 • Average -0.5 0.5 1.0 1.5 Estimated hedge benefit per unit cost vs. NDX Source: BofA Merrill Lynch Global Research. Data as of 2-Jun-17. *Call option volatility used. 2.0 We continue to like hedging the risk of a US Tech overshoot via stock replacement strategies, for example, stock replacing long "FANG" positions with either cheap calls on the individual FANG stocks or with outperformance calls on FANG vs. S&P. 6 Global Equity Volatility Insights | 06 June 2017 nkof America errill Lyn HOUSE_OVERSIGHT_023580