全球股票波动率洞察：股市上行潜力胜过波动率下行风险

24 June 2025 BTD trumps geopolitics but vol floor limits VIX downsideDespite escalation of the Middle East conflict over the weekend, buy-the-dip reigned Equity DerivativesGlobal supreme in US equities, which closed nearly 1% higher on Monday (led by TSLA’s 8.2%rally) and extended their rally after hours on tentative ceasefire headlines. With the VIXnear 20 as of the time of writing yet SPX 1m realized vol closer to 11-12%, an easing ofgeopolitical tensions should lead the VIX to reset lower. However, we continue to expectsome degree of vol support coming from the two mega-forces of a disruptive policyagenda and a likely AI bubble in the making. Hence we like VIX Sep 18/17/16 put laddersthat offer over 8x payout while monetizing a VIX floor between 16-17, and continue tolike selling VIX puts to fund SPX call spreads (see28-May GEVI). For investorsconcerned about another geopolitical flare-up agitating markets, we suggest hedging oilspike risk with USO call spreads that take advantage of near-record call skew inversion. Global Equity Derivatives RschBofAS Arjun GoyalEquity-Linked AnalystBofAS EU upside > vol downside, but what if oil is still a risk? Lars Naeckter>>Equity-Linked AnalystMerrill Lynch (DIFC) Oil price shocks remain the most direct transmission mechanism for further escalationin the Middle East conflict. While European equities haven’t weakened significantly yet,the experience from the initial months of the Russia-Ukraine war suggest that equityimpact can be sudden, disproportionate and broader than stocks with direct oil exposurevia a channel of deteriorating growth expectations and increased risk aversion. FTSEputs and dual digitals that benefit from SX7E lower with Brent higher offer relativelycheap hedges for a worsening geopolitical situation. Meanwhile, the strength of the“buy-the-dip”narrative justifies to us the need to have strategies for a resolution inplace–we like long SX5E calls funded by short V2X puts in case of a market-perceivedresolution that may boost equities while implied vol resets to a higher floor. Riddhi Prasad>>Equity-Linked AnalystMLI (UK) Nitin SaksenaEquity-Linked AnalystBofAS Vittoria Volta>>Equity-Linked AnalystBofASE (France) Abhinandan Deb>>Equity-Linked AnalystMLI (UK) Kospi hedge: Protect gains after world’s strongest rallyThe Kospi has risen 33% since April lows, outpacing all other major markets. 2025 so far Benjamin BowlerEquity-Linked AnalystBofASbenjamin.bowler@bofa.com is on track to become the 2ndbest year since the 90s, only surpassed by 1999. In termsof our recent Kospi trades, we suggest keeping delta-1-like upside exposure butoverlaying such positions with zero cost Kospi risk reversals (+put/-call). 3-month 360440 riskies can be put on for a small credit and provide protection in case profit takingor further geopolitical escalations pulls the index lower from here. Indeed, the 360 putstrike is just below our CTA model’s stop-loss, meaning that any sell-off towards suchlevels could get exacerbated in case trend-following investors start unwinding;indications are that they have recently built large longs in Kospi futures. Finally, theshort call allows for upside towards the‘21 all-time highs of 440.40. Nicholas DunneEquity-Linked AnalystBofAS Zhenhua Xue>>Equity-Linked AnalystMerrill Lynch (Hong Kong) See Team Page for List of Analysts Also in the GEVI Global cross-asset stress increases again on rising equity and crude stress BofA GFSITMX-Asset Risk Landscape GFSI rises again on higher equity and crude stressLast week, the GFSI rose from +0.05 on 13-Jun-25 to +0.11 on 20-Jun-25 as the conflict between Israel and Iran continued to escalate. This brings the GFSI to its 57thpercentilesince 2000. The rise in stress was driven primarily by equities with three of the top five stress-gainers of the week coming from the asset class (Exhibit 3&Exhibit 4). Volume flow,the subcomponent measuring bullish or bearish US stock volume, experienced thelargest increase in stress over the last week, but it remains the least stressed GFSIsubcomponent by a relatively wide margin. ESTX50 and S&P 500 skews were the thirdand fifth largest stress-gainers, respectively, and S&P 500 skew remains the moststressed GFSI subcomponent (Exhibit 2&Exhibit 3). In accordance with these moves,the US and Europe were the only regions to see stress increase last week (Exhibit 5). In the other asset classes, credit, rates, and commodities saw smaller increases in stresswhile FX stress declined (Exhibit 4). Crude implied vol posted the second largest increasein stress as vol continued to increase with spot. In fact, crude implied vol is now thethird most stressed GFSI subcomponent overall (Exhibit 2). Meanwhile, the increases incredit and rates stress were led by CDS index skew USD and Govt-OIS USD, respectively.On the other hand, USDJPY implied vol and skew were the top stress-decliners, helpingFX stress to fall below median levels (Exhibit 3). Commodities are stil