全球指数波动率监测手册

Harry Yang,SFC: BSQ313 harryyang@hfisec.com.hk 17 Aug 2026 (This note is the English translation of a note that was originally written in Chinese and published on 20260814. The original version should prevail.) 本研究报告由华福国际分销，在其许可的司法管辖区内从事证券活动。关于华福国际的分析师证明，重要披露声明和免责声明，请参阅附录。Thisresearch report is distributed by HuaFu International, which is authorized to engage in securities activities in its respective jurisdiction. Please refer to appendix fordetailed analysts certification, conflict of interest disclosures and important disclaimer. Executive Summary Volatility Percentile Rankings Trading Implications Sentiment Divergence Vol spread reached multi‑yearextreme.Pair‑trade idea:✅Short KOSPI2 near‑term vol✅Long HSCEI volTarget: Capture spreadmean‑reversion • KOSPI2 1M IV:70% | 97th percentile → Most expensive vol• HSCEI 1M IV:19% | 7th percentile → Global vol value‑trapCross‑market vol spread hit historical extreme • KOSPI2: Flat term‑structure → Near‑term tail risk priced in• HSI / HSCEI: Upward contango• 25‑delta skew near lows → Cheap downside hedges Data Overview Core Indicators Coverage Indices Data Source (1) Volatility Level1M/3M/6M/1Y ATMF IV + 5‑year percentiles • Implied Vol: Bloomberg OVME module(mid‑market quotes)• Realized Vol: Bloomberg closing prices• Data cut‑off: 14 August 2026• Look‑back window for percentiles: Aug2021‑Aug 2026 Markets covered (7 global equityindices): (2) Term StructureSlope of IV curve | Short‑vs long‑term riskpricing • US: SPX (S&P500), NDX (Nasdaq 100)• Hong Kong: HSI, HSCEI• Asia‑Pacific: NKY, KOSPI2, AS51 (3) 25D Skew25D Put IV − 25D Call IV | Downside protectiondemand (4) VRP (Volatility Risk Premium)1M ATMF IV − 1M Realized Vol | Optionrichness / cheapness For full disclosure of risks, valuation methodologies and target price formation on all HFI rated stocks, please refer to the latest full report on our website atwww.hfisec.com.hk Indicator 1: Volatility Level – Key Takeaways 01Richest Vol Market: KOSPI2 02Cheapest Vol Markets: HSCEI / HSI •1M IV:70.1% | 97.2nd 5Y percentile•Most expensive volatility across coverage•Near‑term tail risks are fully priced•Vulnerable to mean‑reversion •HSCEI 1M IV:19.0% | 7th percentile•HSI 1M IV:17.4% |12th percentile•Global low‑vol zone•Attractive cost for downside hedges & long‑vol positioning Other Markets: NKY at Mid-to-High Range •NKY 1M IV:29% | Elevated 5‑year percentile•Vol premium slow to normalize vs peers •SPX / NDX: Mid‑range, broadly fair valuation•AS51: Low percentile, muted risk premium For full disclosure of risks, valuation methodologies and target price formation on all HFI rated stocks, please refer to the latest full report on our website atwww.hfisec.com.hk Indicator 1: Volatility Level – Chart 01 KOSPI2: Vol Premium at Extreme Levels • 1M IV 70.1%, 97.2nd 5Y percentile, highest in coverage• Premium driven by geopolitics, KRW volatility & semiconductor risks• Near‑term tail risks fully priced; vulnerable to mean‑reversion 02 HSCEI：Low Percentile Offers Asymmetric Upside • 1M IV 19.0%, 6.8th 5Y percentile, lowest in coverage• Downside protection historically cheap• Favourable risk‑reward for long‑vol strategies• Policy/fundamental improvement could trigger vol upside For full disclosure of risks, valuation methodologies and target price formation on all HFI rated stocks, please refer to the latest full report on our website atwww.hfisec.com.hk Indicator 2: Term Structure – Key Takeaways 01KOSPI2：Backwardation-Near-term Panic 02HSCEI / SPX: Contango – Orderly Risk Pricing Concentrated •Upward‑sloping contango curve: longer‑tenor IV> short‑tenor IV•Markets price more uncertainty in longer horizon•Near‑term sentiment stable, risk pricing remainsorderly •Term‑structure in backwardation: 1M IV >>longer‑tenor IV•Sharp premium on short‑dated options•Signal of acute near‑term risk / near‑term panicpricing Market Implications Term‑structure = market sentiment thermometer•Backwardation: Near‑term panic / pending risk events → tactical hedging signal • Contango: Rational pricing for long‑run uncertainties• Trade idea: Exploit curve dislocations via cross‑tenor vol spread trades• Input for hedging decision‑making under different market contexts For full disclosure of risks, valuation methodologies and target price formation on all HFI rated stocks, please refer to the latest full report on our website atwww.hfisec.com.hk Indicator 2: Term Structure – Charts 03SPX, NDX, HSI, HSCEI, AS51– Contango• Upward‑sloping IV term‑structure 02NKY – Mildly Inverted 01KOSPI2-Backwardated • Orderly long‑term risk pricing• Stable near‑term sentiment across US, HK,AU • Sharp backwardation: 1M 68.0% vs 1Y 64.0%• Short‑dated vol far exceeds long‑dated• Prices acute near‑term risk panic • Mild downward slope: 1M 28.5% vs 1Y 31.5%• Reflects Japan‑related geopolitical & FXnear‑term worries Indicator 3: Skew (25D Put – 25D Call) – Key Takeaways 01KOSPI2 – Extreme Tail Premium 03HSI, HSCEI, AS51