全球股票波动率洞察：上行风险仍是更大担忧

Strong rallysuggests upside remains the greater concernUS equities have once againstrongly spiked higher after grinding lower, as the S&P Equity DerivativesGlobal retraced a 19-day selloff that generated 15.9% vol, in just seven sessions on 23.9%realized vol. With the S&P and VIX curve back near pre-war levels despite crude oil stillnear $100/bbl and OVX (Oil VIX) ~80, US equities appear to be looking through risks stillbeing priced in commodity markets. And with the ceasefire appearing fragile but right tailstrength evident as ever, US equities continue to face the two-tailed risks we havehighlighted in recent weeks, making options key to navigating these markets, in our view.For the left tail, we still favor grind lower structures alongside long vol hedges such as VIXcall spreads. With 12x max payout and limited risk, they would have worked well duringMarch’s turmoil. For the right tail (arguably the greater concern), we like hedgingcontinued tech momentum into earnings via QQQ May calls, given the sharp vol resetlower and steep skew. We also like NDX-SPX Dec27 call switches for longer-term AIupside and asymmetric exposure to the tech IPO pipeline (seeHow to own the AI race). Global Equity Derivatives RschBofAS Riddhi Prasad>>Equity-Linked AnalystMLI (UK) Vittoria Volta>>Equity-Linked AnalystBofASE (France) EU stocks grind lower/spike higher on light positioningEUequities’muted response to the latest setback in US‑Iran negotiations suggests Arjun GoyalEquity-Linked AnalystBofAS markets are looking beyond the immediate lack of progress with underlying optimism.Positioning, however, remains light in Europe following de‑risking through the conflict,leaving investors vulnerable to upside surprises even in the absence of a definitivebreakthrough, as the sharp rally on 8 April showed. The asymmetry is evident at theindex level too, with the SX5E exhibiting‘grind lower, spike higher’dynamics and recordupside volatility relative to downside. Against this backdrop, while oil‑sensitive stocksled the relief rally, several lower‑volatility laggards continue to offer upside opportunitiesvia single‑stock call spreads. At the index level, we favour initially delta‑hedged calls forupside convexity while retaining downside protection in case peace fails. Nitin SaksenaEquity-Linked AnalystBofAS Lars Naeckter>>Equity-Linked AnalystMerrill Lynch (DIFC) Abhinandan Deb>>Equity-Linked AnalystMLI (UK) Christopher Cho>>Research AnalystMLI (UK) Nikkei1x3 call ratios – Potent hedge for upside AI rips Meriem Hafid>>Research AnalystBofASE (France) While hard to predict whether the next Iran headline will be positive or negative, manyAsian markets have recently behaved like coiled springs, rallying >2x the S&P500 onpositive news. The Nikkei, for example, soared 5.4% on the ceasefire announcement lastweek, while the S&P500 and the Nasdaq 100“only”rose 2.5% and 2.9%, respectively.This makes the Nikkei an interesting candidate for right side tail hedges. Indeed, NKYJune 1x3 103% 110% call ratios leverages steep call skew and can be put on for 0.17%(-1x 103% +3x 110%). Should the Nikkei fall from here, losses are capped at 0.17%. Nicholas DunneEquity-Linked AnalystBofAS Benjamin BowlerEquity-Linked AnalystBofASbenjamin.bowler@bofa.comSee Team Page for List of Analysts Also in the GEVI Lower volatility has made cross asset tail hedging cheaperEquities and commodities led global cross-asset stress lower on last week’s ceasefireStructured product Q1’26 update: Issuance falls, composition holds 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 toabsorb 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 havea 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 30 to 33. Analyst Certification on page 30 See list of acronyms at the end of the report BofA GFSITMX-Asset Risk Landscape Equities & commodities lead stress lower on ceasefire The GFSI snapped a five-week streak of stress increases by falling in each of the lasttwo weeks. The index declined from +0.50 on 27‑Mar‑26 to +0.12 on 10‑Apr‑26 with alarge portion of that drop coming on 8-Apr as the ceasefire in Iran sent the S&P 5002.5% higher. In fact, the GFSI’s decline on 8-Apr was its largest since 14-Apr-25 whenPresident T