Epstein Secrets

inflation) but inter-sector correlation now seems supported likely driven by the unwind of reflation trades (Chart 18). Bankof America <> ariective Merrill Lynch Global Equity Volatility Insights | 20 June 2017 11 HOUSE_OVERSIGHT_014982 --- PAGE BREAK --- Chart 18: European intra-sector realised correlation is near a 10-year Table 3: Person

ll Lynch Global Equity Volatility Insights | 20 June 2017 19 HOUSE_OVERSIGHT_014990 --- PAGE BREAK --- Chart 29: The ratio of AS51 3M ATM IV over HSCEL is at its 4-yr high Table 8: Index pairs‘ with the highest implied vol ratio vs their histories (Daily data from 1-Oct-12 through 16-Jun-17) (data a

to 2-Jun-17. m 3yr %-ile of average 12m ATMF implied vol © Sector market cap as a %-age of total SPX Top50 market cap Bankof America <> ; dee Ios Merrill Lynch Global Equity Volatility Insights | 06 June 2017 7 HOUSE_OVERSIGHT_023581 --- PAGE BREAK --- Chart 18: Long SPX Top50 dispersion strategies performed the best during the dotcom bub

since 2014. Products issued in Oct-16 (US$3.1bn) and Nov-2016 (USS3.4bn) have knocked out recently and rolled into new products. However, the legacy HSCEl-linked products issued in May-15 were struck at a very high HSCEI spot level and were not able to knock-out this month. We think issuance may pick up

eft sections) are dominated by scenarios of greater than 50% deleveraging. On the other hand, the second and fourth quadrants Bankof America <> ; re Merrill Lynch Global Equity Volatility Insights | 09 August 2016 5 HOUSE_OVERSIGHT_025982 --- PAGE BREAK --- have episodes of more benign model-driven deleveraging. In each quadrant exists examp

largest increase. KOSPI2-linked issuance hence took over SX5E-linked issuance (currently USS$436mn), which was relatively unchanged compared to June. HSCEl-linked issuance (currently USS 69mn) further declined whereas HSl-linked issuance (currently USS 262mn) increased again. SPX-linked issuance grew to