| --- |
| 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: 0.0 |
| 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 |
|
|
