全球股票波动率洞察：回溯最大化构建更智能的AI对冲

Lookbackmaxxing for a smarter AI hedge 12 May 2026 Lookback puts look like ideal hedge for risingbubble risks Equity DerivativesGlobal Historic upside momentum in US tech stocks has powered the Nasdaq to 12 fresh all-time highs over the past month, generated near record up vs down realized vol, andpushed our Bubble Risk Indicator on US tech closer to the 0.8 threshold–furtherevidence we are living in“The Bubble Era”. In a runaway market exposed to persistentthreats, protecting downside with fixed-strike hedges can be difficult given strike &timing risk. Vol-based hedges are compelling in this environment, as long equity + longvol have worked well recently, and 15x payout VIX call spreads offer limited risk, long volexposure. Alternatively, structures like QQQ expanding put spreads automatically re-strike protection higher as markets rally (at prior max) just like a lookback put and are Global Equity Derivatives RschBofAS Arjun GoyalEquity-Linked AnalystBofAS Lars Naeckter>>Equity-Linked AnalystMerrill Lynch (DIFC) Onward to resolution? EU upside & VSTOXX downside Financial markets continue to look through episodic setbacks in US-Iran negotiations,with muted Brent (vs crisis highs), resilient European equities and a normalized VIX allpointing to a fading of geopolitical risk. We highlight opportunities for a furtherreduction of EU risk premium via SX7E/FTSEMIB and V2X. (i) Eurozone banks remain ahigh‑beta beneficiary of improving sentiment, with SX7E“grinding lower, spiking higher”and FTSEMIB offering cyclicality at low vol levels; funding FTSEMIB calls with shortSX7E puts allows us to efficiently position for 'war resolution' upside that benefits fromcross‑index vol dislocations. (ii) The V2X curve continues to embed war risk, reflecting Riddhi Prasad>>Equity-Linked AnalystMLI (UK) Nitin SaksenaEquity-Linked AnalystBofAS Vittoria Volta>>Equity-Linked AnalystBofASE (France) Benjamin BowlerEquity-Linked AnalystBofASbenjamin.bowler@bofa.com Abhinandan Deb>>Equity-Linked AnalystMLI (UK) Asia & Korean AI: Up to 13.5x payouts via worst of calls Meriem Hafid>>Research AnalystBofASE (France) Asian AI stocks keepclimbing, with SK Hynix and Samsung Electronics up 193% and137%. YTD, respectively. We still favour upside trades but with many of these stocksscoring very high on our BofA Bubble Risk Indicator, we note the benefits of optionsexposure vs holding cash equities outright. Worst-of call options (WoC) offer investorspotential upside but with limited loss. At 59% and 66% discounts to the cheapest vanillacall option, respectively, we like 3-month worst of calls on1)top AI stocks in Korea, Nicholas DunneEquity-Linked AnalystBofAS Also in the GEVI Global x-asset stress falls as all asset classes except for commodities see stress decline Trading ideas and investment strategiesdiscussed 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 analyst under 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 GFSITMX-Asset Risk LandscapeGFSI continues to ease as equity stress declines Global stress declined for the fifth time in the last six weeks as the GFSI fell from -0.01on 1‑May‑26 to -0.13 on 8‑May‑26. The index is now in its 31stpercentile since 2000 and at its lowest level since 10-Feb. Equities led stress lower as they posted the largest absolute change in stress for thefourth straight week (Exhibit 4). This came as the S&P 500 recorded its sixthconsecutive week of gains and notched another all-time high. Like the prior week,volume flow, the subcomponent that measures bullish and bearish US stock volume, andS&P 500 skew recorded the top two declines in stress. This contributed to making theUS the top regional stress-decliner (Exhibit 5). Nikkei and ESTX50 skews were also Rates, FX, and credit stress also declined while commodity stress increased (Exhibit 4). Interest rate implied vol EUR posted a 95thpercentile decline in stress as it led rates stress lower (Exhibit 3&Exhibit 6). In fact, it helped rates vol record the largest declinein stress versus all cross-asset vols and spreads (Exhibit 7). AUDJPY skew was the onlysubcomponent outside of equities or rates among the top ten stress-decliners (Exhibit3). Commodities remain the GFSI’s most stressed asset class while FX is the leaststressed (Exhibit 4). •Crude implied vol is now the GFSI’s most stressed subcomponent (Exhibit 2). Stress increased for the third consecutive week, though, unlikethe prior two weeks, the rise in stress occurred alongside declining crude Crude implied vol is the most stressed while sub-IG foreign sovereign bond