Global Equity Volatility Insights: Stock vs index vol at 90s Dotcom extremes

Research evidence excerpt

Global Equity Volatility Insights: Stock vs index vol at 90s Dotcom extremes

alyst

are now suggesting an "implied beta" that is lower than the index’s empirically observed Merrill Lynch (DIFC)

cyclicality. Given SX5E's overweight exposure to cyclical sectors such as Technology, Vittoria Volta >>

Consumer Discretionary and Industrials, put switches offer a relatively low-premium way Equity-Linked Analyst

BofASE (France)

to hedge downside risk in Europe's cyclical sectors, particularly as the recent sell-off

Meriem Hafid >>

from SX5E's all-time highs was driven primarily by weakness in Industrials and Tech. Research Analyst

Own TSMC into earnings & cheapen NKY hedges by 74% Benjamin Bowler

Own the upside, not the downside, into TSMC earnings. Strong sales momentum Equity-Linked Analyst

BofAS

supports our positive fundamental view, but the risk-reward into Thursday's print benjamin.bowler@bofa.com

appears skewed as markets remain highly sensitive to any AI capex concerns. We Abhinandan Deb >>

recommend switching cash equity exposure into option structures that cap downside at Equity-Linked Analyst MLI (UK)

1.3% while preserving substantial upside convexity. Rich upside volatility further

Nicholas Dunne

supports call ratios, particularly given our expectation of a more orderly rally and lower Equity-Linked Analyst

post-event vols. Separately, elevated vol has made Nikkei hedges expensive, but rich BofAS

downside vol creates opportunity to cut protection costs by up to 74%. Given the See Team Page for List of Analysts

Nikkei's rising sensitivity to AI and global macro risk, we view it as an attractive vehicle

for hedging a potential 10–20% correction. Exhibit 1: 3M volatility (2weeks chg)

Level & changes (in parentheses) in vol pts

Also in the GEVI Implied Realized