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:

24/130 Dec-16 call spread collar Buy TLT 123/132/137 Dec-16 call spread collar Buy Oct16 110%f calls on VIE FP, Al FP, IBE SQ, STAN LN 18-Jul- and MUV2 GY Buy an Oct16 110%F call on an equally weighted basket {quanto EUR) Buy 0.895x V2X Oct 21 puts, sell 1x VIX Oct 16 puts Sell SX7E Dec16 115 call O

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

24/130 Dec-16 call spread collar Buy TLT 123/132/137 Dec-16 call spread collar Buy Oct16 110%f calls on VIE FP, Al FP, IBE SQ, STAN LN 18-Jul- and MUV2 GY Buy an Oct16 110%F call on an equally weighted basket {quanto EUR) Buy 0.895x V2X Oct 21 puts, sell 1x VIX Oct 16 puts Sell SX7E Dec16 115 call O

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

uture Buy a 6M ATM worst-of call on XLP & GLD Buy a 6M ATM worstof {SPX put, GLD call} Buy Oct16 110%f calls on VIE FP, Al FP, IBE SQ, STAN LN and MUV2 GY Buy an Oct16 110%F call on an equally weighted basket (quanto EUR) Buy TLS 25-Aug16 95% puts Buy CSL 25-Aug-16 95% puts Buy Newcrest 25-Aug-16 10