UBS Global Markets Volatility Weekly 1st September 2026

UBS Knowledge Network Cross-Asset Volatility Risk. Edge. Positioning. Flows. Performance. Sales and Trading Commentary – NOT a product of UBS Research For Professional Clients / Institutional Investors only Not for further distribution 1st September 2026

Global Markets Vol Weekly Cross-asset reaction to Warsh’s speech was Dealers remain short downside vega which China CSI500 index has 32% exposure to initially driven by front-end rates repricing but has contributed to downside skew remaining AI/Tech Hardware, giving it a high correlation moves since then have been more risk-off, elevated while upside skew declines. With to global Tech (as opposed to HSCEI which is coinciding with higher back-end rates. SPX is overall ATM vols lower but downside skew negative). CSI500 (proxy) calls give decent exposure now lower since the meeting and there’s multiple elevated, buying SPX D&O puts is an attractive way to China AI/Tech Hardware but at significantly lower near-term catalysts that add to downside risk to put on shoulder hedges in the near-term with premium than other global indices. depending on their read of a Fed hike. the downside barrier being below March lows. 3m Correlation vs SOX Warsh speech 1.0x 7780 15.6 HSCEI NKY CSI 500 SPX 15.4 7760 VIX (right axis) 0.8x x x x x

-0.2x Jul-23 Jan-24 Jul-24 Jan-25 Jul-25 Jan-26 Jul-26

Derivatives trades discussed this week: #1: A more hawkish Fed puts a dent in the supportive backdrop for equities, consider adding low-premium equity hedges. Buy SPX put with D&O barrier or sell VIX Sep put spreads to buy calls given Sep expiry overlaps with FOMC and likely to be supported. #2. Several cross-asset hedges screening attractively including NDX and SMI puts, USDCNH calls and XAU Call Spreads. #3. Adding CSI 500 upside is increasingly an AI/Tech trade, less about China’s macro conditions or policy stimulus. Buy CSI 500 Proxy Index 1y ATM calls for just 6.27% which gives decent Tech Hardware exposure at significantly lower premium levels than other global indices.

To hear the team run through the weekly ideas, please join the Global Vol Weekly Discussion each Tuesday at 13:15 BST / 08:15 ET / 20:15 HKT on Neo Live Desk here. 31st August 2026 1 of 9 Link toUBS Sources: MAR Investment Derivatives Recommendations Strategy eam (NOT a product of UBS Research), BBG, LSEG

Cross-asset reaction around Warsh Speech 4.35% US 2y Warsh Speech

#1. A more hawkish Fed puts a dent in the supportive backdrop for 4.30%

equities, consider adding low-premium equity hedges (1 of 2): 4.25% Front-end saw sharpest initial reaction but then steadies afterwards • The cross-asset reaction to Warsh’s hawkish speech has been mixed. Initial reaction was as expected to a hawkish pivot: US front-end yields sharply higher, 4.20% 30yr initially sees small move lower (~3bps) but quickly back-end yields lower, Dollar up and Gold down. However, after that, US back-end 5.30% unwinds and heads back towards recent highs of 5.3% resumed its trend higher (now pushing on 5.3% highs) which potentially added US 30y

pressure to equities and Dollar (but so far not benefiting Gold). 5.25%

• The UBS Economics team stick with their no-hike forecast for this year and a cut 5.20% towards the start of next year but they see Warsh’s speech as increasing the risk of a Sep hike while clients now see the meeting as a 50/50 coin-toss. 5.15% DXY trades broadly in-line with 2yr initially but then • Multiple upcoming catalysts add to near-term risk with NFP and CPI among the 99.8 unwinds some of the move this week as 30y trades higher most closely watched. The Econ team is expecting only a moderate NFP (+65k) and DXY stable CPI (core +20bps), unlikely to sway the Fed but given the setup, a surprise 99.6

print either way could result in meaningful cross-asset reactions. Fed Waller’s speech 99.4 on Thursday is also a key catalyst as he’s viewed as a potential swing voter. 99.2 • As flagged recently, the setup for equities had been looking quite supportive on several fronts: strong earnings, lighter positioning, good technicals and positive 99.0

macro backdrop, mainly from front-end rates easing on softer data. A hawkish Fed 4,650.0 Gold initially under pressure…