content-documents/house-oversight-nov/11/HOUSE_OVERSIGHT_023596.md

metadata

title: 'House Oversight: Estate Documents (Nov 12) (HOUSE_OVERSIGHT_023596)'
source: 'House Oversight: Estate Documents (Nov 12)'
sourceUrl: https://www.justice.gov/epstein
date: '2026-01-01'
category: House Oversight
eftaNumber: HOUSE_OVERSIGHT_023596
ocrPages: 1
ocrChars: 2017
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 45: We estimate that structured product issuers are currently long US$10mn of KOSPI2 vega 90 •KOSPI2 Autocall Vega Outstanding Profile Estimate KOSPI2 outstanding vega 80 70 60 .50 40 30 20 10 Chart 46: Structured product issuers are currently long - US$89mn of HSCEl vega 110 -HSCEI Autocall Vega Outstanding Profile Estimate HSCEI outstanding vega (US$mn) 6500 7000 7500 8000 8500 KOSPI2 Spot Level 9000 9500 10000 10500 11000 HSCEI Spot Level 11500 12000 12500 13000 Source: BofA Merrill Lynch Global Research. Source: BofA Merrill Lynch Global Research. KOSPI2 3M ATM IV over SPX is at its 4-year high Table5 lists Asian index pairs with the highest IV ratio vs their 4-year histories. For instance, the ratio of KOSPI2 3M ATM IV over SPX is at its 4-year high. Chart 47: The ratio of KOSPI2 3M ATM IV over SPX is at its 4-yr high (Daily data from 1-Oct-12 through 02-Jun-17)

• KOSPI2 3M ATM vol -SPX 3M ATM vol Table 5: Index pairs^ with the highest implied vol ratio vs their histories (data as of 02-Jun-17)
• Vol ratio Index A Index B A/B Implied Ratio 4-yr 25% 1.60 (Implied vol) (Implied Vol) Vol ratio percentile 3М ATM KOSPI2 (12.8%) SPX (9.4%) 1.50 1.36 6M ATM KOSPI2 (13.6%) NIFTY (11.8%) 1.16 100% 99% 20% 0 1.40 12M ATM KOSPI2 (14.8%) NIFTY (13.8%) 1.07 99% 1.30 Implied Vol 3M 25d-Put KOSPI2 (13.6%) HSCEI (16.4%) 110đ 0.83 99% 6M 25d-Put KOSPI2 (14.7%) NIFTY (12.5%) 1.17 12M 25d-Put KOSPI2 (16.0%) NIFTY (14.4%) 1.11 99% 99% 1.00 3M 25d-Call KOSPI2 (12.6%) SX5E (11.6%) 10% 0.90 6M 25d-Call KOSPI2 (13.4%) NIFTY (10.8%) 1.09 100% 100% 12M 25d-Call KOSPI2 (14.6%) NIFTY (12.0%) 100% 0.80 Source: BofA Merrill Lynch Global Research 5% Jan-13 May-13 Sep-13 Jan-14 - 0.70 ^ Index universe includes the ASX200, HSCEI, HSI, KOSPI2, NIFTY, NKY, TWSE, SPX and SX5E May-14 Jan-15 May-15 Sep-15 Jan-16 May-16 Sep-16 Jan-17 May-17

• mid level implied vol Source: BofA Merrill Lynch Global Research 22 Global Equity Volatility Insights | 06 June 2017 Bankof America T Merrill Lynch HOUSE_OVERSIGHT_023596