全球股票波动率洞察

In bubble-builds, FOMO can trump macro Equity DerivativesGlobal Renewed inflation concernsand rising long-end yields have slowed the breakneck USequity rally, but numerous signs point to equity resilience and concerns over furtherupside. As one example, a striking disconnect has emerged between steep put skew inrates vol and historically flat call skew across equity indices & sectors. We note that inbubble-like markets, FOMO can overwhelm rising yields & macro headwinds, as seen inthe Dotcom bubble when Nasdaq surged with 30y yields. Near term, the clash betweenmacro risks and a bubble-prone market is pushing risk into both tails, making options’asymmetry valuable. TLT put spreads offer historic ~8x max payouts to hedge a furtheryield rise, while QQQ call spreads and NDX-USDGBP hybrids offer cheap, limited-risk Global Equity Derivatives RschBofAS Lars Naeckter>>Equity-Linked AnalystMerrill Lynch (DIFC) Riddhi Prasad>>Equity-Linked AnalystMLI (UK) UK-specific risk creates opportunities in banks & hybrids UK political risk is reasserting itself as a meaningful macro driver, withLabourleadership uncertainty and associated fiscal divergence feeding into Gilt yields, macrovolatility and renewed Sterling weakness. This uncertainty creates attractive tradingopportunities for UK vs other regional assets. For instance, as UK banks remain sensitiveto domestic political and fiscal risk, a historically low SX7E/SX7P vol ratio combined withpersistently high correlation cheapens SX7E calls contingent on limited SX7P upside.More broadly, Sterling-equity correlations are counter to scenarios in which equities Arjun GoyalEquity-Linked AnalystBofAS Benjamin BowlerEquity-Linked AnalystBofAS benjamin.bowler@bofa.comAbhinandan Deb>>Equity-Linked AnalystMLI (UK) Meriem Hafid>>Research Analyst BofASE (France) Nitin SaksenaEquity-Linked AnalystBofAS China AI hardware: 7.1x payout call spreads on FTSE A50 AI hardware is starting to dominate the FTSE China A50 index (XIN9I) and the indexdoesn’t include Hong Kong-listed“AI software”(e.g. Tencent and Alibaba). At 25%, IT ison track to overtake Financials as the largest sector in the A50 index, more than tripling Nicholas DunneEquity-Linked AnalystBofAS Vittoria Volta>>Equity-Linked AnalystBofASE (France) semiconductor stocks in the US than with common China Tech instruments such as theKWEB ETF and the Hang Seng Tech index. We like XIN9I 3m call spreads for a 7.1x maxpayout ratio as they leverage the most inverted call skew globally and offer good upsideparticipation while limiting losses at 1.4%. With most AI-linked assets in Asia trading well See Team Page for List of Analysts Also in the GEVI Global cross-asset stress finished higher after Friday’s moves reversed earlier easing 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 Landscape GFSI slightly increases after Friday’s market moves The GFSI mildly increased last week as it moved from -0.13 on 8‑May‑26 to -0.11 on15‑May‑26. Stress actually decreased through Thursday, as equities moved higher andthe index reached -0.18, its lowest level since 27-Jan. However, Friday’s move higher inrates and oil, coupled with equity weakness, erased earlier stress easing, leaving the GFSI in its 33rdpercentile since 2000. Commodities led stress higher with copper and crude implied vols among the top eightstress-gainers of the week (Exhibit 3&Exhibit 4). In fact, copper implied vol recorded a 95thpercentile gain in stress while crude implied vol stress increased for the fourth consecutive week (Exhibit 6). Crude implied vol remained the most stressed GFSIsubcomponent and is joined in bearish territory by gold implied vol, with stress in bothmore than half a standard deviation above median levels (Exhibit 2). Although all three commodity implied vol subcomponents saw stress increase last week,rates vol was the largest stress gainer versus all cross-asset vols and spreads (Exhibit 7).Interest rate implied vol EUR and USD were the first and third largest stress-gainers,respectively, as they each posted stress gains in their top deciles versus history (Exhibit3&Exhibit 6). Meanwhile, FX and equity stress also increased while credit stress slightly •The US was the only region to record a decline in stress last week (Exhibit 5). Stress decreased for the third consecutive week, as volume flow,the subcomponent that tracks bullish or bearish US stock volume, posted the •GBP/USD implied vol