Epstein Secrets

% 2M 25d-Call KOSPI2 (14.2%) NIFTY (12.2%) 1.16 98% ° Source: BofA Merrill Lynch Global Research 5% * Index universe includes the ASX200, HSCEI, HSI, KOSPI2, NIFTY, NKY, TWSE, SPX and SX5E a a oo a a a ee mid level implied vol ise] iss} o oO D o ise] D o ise] D o ise] oO > Sao 7 SYN FT EH FEY FOS Source:

BofA ML turned neutral in EM in the short-term Close positions from trades that have benefited thus far from the rally in Financials and weakness in Utilities; monetize view that Fed will not hike in September Take advantage of low near term vol and a steep term structure Unwind Oct/Jan spread and maintai

in July and August as ~US$4.0bn of legacy products may knock-out in Jul-17 with an average HSCEI knock-out level of 9665 (Chart 43). e — Issuance in KOSPI2-linked products (up from US$840mn to US$846mn) remained steady in May-17; HSI-linked products fell 66% from US$360mn to US$120mn as investors prefere

BofA ML turned neutral in EM in the short-term Close positions from trades that have benefited thus far from the rally in Financials and weakness in Utilities; monetize view that Fed will not hike in September Take advantage of low near term vol and a steep term structure Unwind Oct/Jan spread and maintai

t Level Table 5: Volatility measures of major Asian indices (data as of 5-Aug-16) Korean structured product issuance increased to US$1.9bn in July: KOSPI2-linked products dominated Korean auto-callable product issuance ticked up last month, with a total of USS 1.9bn notional issued, vs. USS 1.6bn total

ahead of closing the Rite Aid acquisition Cheap hedge against a bond tantrum Cheap equity upside in a bond / equity melt-up Record outperformance of Utilities vs. Financials + FMS positioning + central bank catalysts = potential for cyclicals / defensives mean reversion SX7E 1M 25d call / SX5E 1M 25d call p