Global Equity Volatility Insights: As fog clears, watch upside in Europe

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Global Equity Volatility Insights: As fog clears, watch upside in Europe

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Global Equity Volatility Insights

As fog clears, watch upside in Europe

Bubbles keep building; gamma pays on high BRI 16 June 2026

As easing geopolitical tensions support the continuation of the US equity bull run, signs Equity Derivatives

of froth continue to build in the AI trade. Indeed, our Bubble Risk Indicator (BRI) Global

continues to rise on the Nasdaq and US tech sector, with the latter now breaching the

top quintile, the level beyond which risks rise in both tails. And the Nasdaq VIX now

trades above the Russell VIX, an atypical dynamic historically associated with prior frothy

tech episodes. In this environment, owning S&P gamma has been challenging given the

ultra-low correlation regime, but long gamma in frothy, high BRI segments of the market

like semis would have performed well. With persistently elevated BRIs in these stocks

suggesting further instability and realized vol, we continue to like owning gamma in Global Equity Derivatives Rsch

BofAS

these pockets. Additionally, given the propensity for FOMO-driven markets to overcome

Abhinandan Deb >>

macro headwinds such as rising rates, as seen from the Nasdaq rallying despite the Equity-Linked Analyst

sharp hawkish re-pricing of Fed expectations, we like NDX calls contingent on higher but MLI (UK)

range-bound rates. These structures offer a nearly 60% discount to vanilla calls, which Nitin Saksena

Equity-Linked Analyst

have become more expensive as NDX volatility rises. BofAS

Riddhi Prasad >>

Equity-Linked AnalystAs war fog clears, we note EU has both Value & Bubbles

MLI (UK)

Risk assets cheered the reopening of Hormuz and potential end to the conflict that

Arjun Goyal

created a large overhang for European assets.