Global Equity Volatility Insights Summer calm before the stormy Fall rally

Global Equity Volatility Insights Summer calm before the stormy Fall rally?

11 August 2026 SPX calls would’ve broken even 2/3rds of rallies since GPT Despite the VIX closing below 15 last Friday as the S&P hit all -time highs, signs of Equity Derivatives bubble-like price action persisted beneath the surface. Notably, SPX fixed strike vols Global rose materially on the 3.3% rally early last week, and call vs put skew has now reached historically flat levels across US equity indices and nearly all sectors. While the combination of these bubble -like dynamics and a strong earnings backdrop suggests risks may remain skewed to the upside, uncertainty around market leadership persists, namely whether the next leg higher is driven by tech or a continued broadening into other pockets of the market. Given its broad equity exposure and low level of implied volatility, we like the asymmetric upside offered by near -term SPX calls, which would ’ve Global Equity Derivatives Rsch BofAS broken even in nearly two -thirds of SPX rallies during the ChatGPT era at current costs. Arjun Goyal On the macro side, with gold showing signs of life once again amidst recent dollar Equity -Linked Analyst weakening, we like leveraging low GDX vol relative to GLD vol and using GDX call BofAS

spreads as a limited risk way to position for a potential gold bull -run. Vittoria Volta >> Equity -Linked Analyst BofASE (France) Doing our summer homework on French 2027 election risk Nitin Saksena While the 2027 French presidential election may still appear distant (Mar-Apr 2027) , Equity -Linked Analyst BofAS early signs of election -related risk are already emerging in equity vol markets. Beyond Meriem Hafid >> the election itself, a busy calendar of budget negotiations and rating agency reviews is Research Analyst likely to keep France in focus over the coming months. Against this backdrop, we BofASE (France)

examine where election -related risks are already reflected in markets, where further Abhinandan Deb >> Equity -Linked Analyst repricing may occur, and which pockets of the equity volatility market could offer the MLI (UK) most compelling opportunities as attention gradually shifts toward 2027. Areas t hat Benjamin Bowler stand out currently are: (i) upside in SX5E volatility around the election window (Mar27- Equity -Linked Analyst BofAS Jun27 forward vol) , (ii) potential for higher return dispersion in EZ banks after a blistering rally since March , and (iii) selective opportunities in owning French single - Nicholas Dunne stock volatility, where implied vol remains low relative to CDS. Equity -Linked Analyst BofAS Lars Naeckter >> Also in the GEVI Equity -Linked Analyst Global cross -asset stress fell as equity and FX skew stress sharply declined Merrill Lynch (DIFC)

Bubble Risk Indicator levels of European equities rise as Kospi slips further See Team Page for List of Analysts

Exhibit 1: 3M volatility (2weeks chg) Level& changes (in parentheses) in vol pts Implied Realized S&P ) ESTX ) FTSE ) DAX ) NKY ) HSCEI ) KOSPI ) Trading ideas and investment strategies discussed herein may give rise to significant risk and are EEM US ) not suitable for all investors. Investors should have experience in relevant markets and the financial XIN9I ) resources to absorb any losses arising from applying t hese ideas or strategies. Source: BofA Global Research >> Employed by a non -US affiliate of BofAS and is not registered/qualified as a research analyst BofA GLOBAL RESEARCH under the FINRA rules. Refer to "Other Important Disclosures" for information on certain BofA Securities entities that take See list of acronyms at the end of the report responsibility for the information herein in particular jurisdictions. BofA Securities does and seeks to do business with issuers covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider thi s report as only a single factor in making their investment decision. Refer to important disclosures on page 23 to 26 . Analyst Certification on page 23 .

BofA GFSI TM X-Asset Risk Landscape Equity & FX skew…