全球股票波动洞察：特朗普期权导致部分波动率被高估

15 April 2025 Peak VIX or not, unstable VIX curve creates opportunity Equity DerivativesGlobal The last two weeks have been marked by both the worst collective performance for USassets since the '87 crash and the subsequent triggering of the Trump put. VIX futures’term structure remains historically inverted due to the recent volatility, but also highlyunstable. Either the left tail has indeed been truncated and Bessent is correct that theVIX has peaked, or stress persists, becoming less easily reversible and risking renewedfinancial instability. Short Jun vs long Sep VIX futures on a 1:2.5 ratio can profit fromlonger-term vol waking up in the latter scenario while being resilient to a front-end volcrush like Monday's in the former. For a true "US repudiation" tail event, triple digitalson SPX lower, dollar lower, and Treasuries lower would have potential 12x max payouts. Global Equity Derivatives RschBofAS SX5E F-Upvar too cheap for Trump put + tariff unknownsTariff turbulence has continued to drive European asset prices, with EU equities surging Nitin SaksenaEquity-Linked AnalystBofAS higher (SX5E +6.3% since last week’s lows) following Trump’s decision to pause tariffsfrom countries excluding China. This realisation of the“Trump put”may have reducedleft tail risk near-term, however, European markets will likely remain volatile as thehistoric policy shift and negotiations unfold. But with European vol term structuresremaining stubbornly inverted and skew historically steep from the recent shock, in ourview forward-starting upvar is attractively priced for a supported but still volatilemarket. SX5E Sep25-Mar26 85% Upvar is offered at 17.6v which is ~8v less thanforward var. Vittoria Volta>>Equity-Linked AnalystBofASE (France) Gonzalo AsisEquity-Linked AnalystBofAS Lars Naeckter>>Equity-Linked AnalystMerrill Lynch (DIFC) Benjamin BowlerEquity-Linked AnalystBofASbenjamin.bowler@bofa.com Limited-risk NKY>SPX hybrid as JPY longs hit 25yr highsWe continue to suggest ways to cheapen limited-risk trades to buy the Nikkei dip (see8 Apr GEVIfor calendar call ratios). In our view, the recent Nikkei selloff and Yen rallypresents an attractive entry point to position for Nikkei > S&P500 outperformance,conditional on a weaker Yen. The Yen has done well amid recent‘safe haven’flows,helping to propel speculative long positioning to the most extreme in 25+ years. At a38% discount to vanilla, the likelihood of Nikkei outperformance could increase by afactor of 2x. Following past selloffs, the Nikkei has outperformed the S&P 7 out of 10times if the yen declined (only 3 out 10 times if the yen rose). Riddhi Prasad>>Equity-Linked AnalystMLI (UK) Arjun GoyalEquity-Linked AnalystBofAS Abhinandan Deb>>Equity-Linked AnalystMLI (UK) Matthew WeltyEquity-Linked AnalystBofAS Also in the GEVI Tariffs may be breaking markets, but are 0DTEs?Cross asset hedging: select FX puts screen cheapest, while US Equity puts most richStress continued to rise last week as the GFSI reached its 92ndpercentileScreening for US options around earnings ahead of Q1 reporting Rupert Ansbro>>Equity-Linked AnalystMLI (UK) Nicholas DunneEquity-Linked AnalystBofAS See Team Page for List of Analysts Trading ideas and investment strategies discussed herein may give rise to significant risk and arenot suitable for all investors. Investors should have experience in relevant markets and the financialresources to absorb any losses arising from applying these ideas or strategies.>> Employed by a non-US affiliate of BofAS and is not registered/qualified as a research analystunder the FINRA rules.Refer to "Other Important Disclosures" for information on certain BofA Securities entities that takeresponsibility for the information herein in particular jurisdictions.BofA Securities does and seeks to do business with issuers covered in its researchreports. As a result, investors should be aware that the firm may have a conflict ofinterest that could affect the objectivity of this report. Investors should consider thisreport as only a single factor in making their investment decision.Refer to important disclosures on page 34 to 36. Analyst Certification on page 32. See list of acronyms at the end of the report BofA GFSITMX-Asset Risk Landscape Cross-asset stress rises to 2022 bear market levels The GFSI rose again last week as tariff news continued to move global markets. Theindex increased from +0.41 on 4-Apr-25 to +0.73 on 11-Apr-25 to end the week in its92ndpercentile since 2000. On Wednesday, 9-Apr, the GFSI reached +0.78, its highestlevel since 17-Oct-22 when it registered +0.84 in the days following the S&P 500’s bearmarket bottom. All asset classes except for rates saw stress rise last week with equity and FX skewsubcomponents leading the way (Exhibit 4). In fact, the top four stress-gainers of theweek were S&P 500, ESTX50, AUDJPY, and USDJPY skews, which all experienced stressincreases at or above the 98thpercentile relative to their own h