---
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"
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ocrChars: 2480
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 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
9)
9
ESTX50
NIKKEI 9
HYG
FTSE
3 104
5
(3
9
RTY
6
8
10)
5)
269
10)
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
10)
3
GBPUSD
8 2
0.0
267
86
101)
41
2
(6
(3
8
10
10)
2
10)
00%0
7
110
91 G
(8
3
85)
D$ 0
10
1
10)
1•59
7 10
3)
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