April 213 contact Asia Pacific +852.2846.35 Canada +1.416.874.9 EMEA +44.2.767.4 United States +1.212.588.4 info@itg.com www.itg.com Spread and Volatility April 213 VIX fluctuated widely in April while the Dow and S&P5 again reached all-time high. Spread increased for constituents of the S&P5, Russell 2, MSCI World and MSCI Emerging Market indices. The S&P5 Index reached another record high on April 3 at 1597. The VIX Index fluctuated widely in April 213 with an average of 14% and high of 18%. The average spread and volatility for all major indices that we track increased from March 213 (see Exhibits 1 and 2). The average volatilityfor the S&P5 (2%), Russell 2 (31%), MSCI World (25%) and MSCI Emerging Markets (28%) constituents increased by %, 1%, 6% and 4% between March 213 and April 213. In the same period, average spread for the S&P5 (4bps), Russell 2 (41bps), MSCI World (11bps) and MSCI Emerging Markets (24bps) increased by 6%,8%,4% and 5%. Exhibit 1: % Change in Average Volatility (%) Exhibit 2: % Change in Average Spread (%) 1% 8% 6% 4% 2% % -2% -4% -6% -8% -1% -12% S&P5 R2K MSCI World MSCI EM % change YTD % change monthly 2% 15% 1% 5% % -5% -1% S&P5 R2K MSCI World MSCI EM % change YTD % change monthly Source: ITG, Inc.
April 213 2 Average of S&P5 Constittuents 1/2/28 4/3/213 14 12 1 8 6 4 2 3-23-8 6-12-8 9-1-8 11-21-8 2-1-9 5-2-9 7-22-9 1-11-9 12-31-9 3-22-1 6-11-1 8-31-1 11-2-1 2-9-11 5-1-11 7-21-11 1-1-11 12-3-11 3-2-12 6-9-12 8-29-12 2-7-13 4-29-13 Average and Average Volatility (%) of S&P 5 Constituents 1/2/28-4/3/213 14 12 7% 6% 1 8 6 5% 4% 3% Volatility (%) 4 2% 2 1% % 4-25-8 8-18-8 12-9-8 4-2-9 7-27-9 11-16-9 3-12-1 7-6-1 1-26-1 2-17-11 6-13-11 1-4-11 1-27-12 5-21-12 9-11-12 1-7-13 4-3-13 Spread (bps) Volatility (%) Average Spread and Average Volatility of S&P5 Constituents and VIX Index (Indexed to 1 on 1/2/28) 1/2/28 4/3/213 4 35 3 25 2 15 1 5 3-23-8 6-12-8 9-1-8 11-21-8 2-1-9 5-2-9 7-22-9 1-11-9 12-31-9 3-22-1 6-11-1 8-31-1 11-2-1 2-9-11 5-1-11 7-21-11 1-1-11 12-3-11 3-2-12 6-9-12 8-29-12 2-7-13 4-29-13 Source: ITG, Inc., Yahoo Finance Average S&P 5 Spread Average S&P 5 Volatility Adjusted Close of VIX Index
April 213 3 Average of Russell 2 Index Constituents 1/2/28-4/3/213 1 9 8 7 6 5 4 3 2 1 3-23-8 6-12-8 9-1-8 11-21-8 2-1-9 5-2-9 7-22-9 1-11-9 12-31-9 3-22-1 6-11-1 8-31-1 11-2-1 2-9-11 5-1-11 7-21-11 1-1-11 12-3-11 3-2-12 6-9-12 8-29-12 2-7-13 4-29-13 Average and Average Volatility (%) of Russell 2 Index Constituents 1/2/28-4/3/213 1 9 8 7 6 5 4 3 2 1 3-1-8 5-14-8 7-21-8 9-24-8 11-28-8 2-5-9 4-14-9 6-18-9 8-25-9 1-29-9 1-6-1 3-15-1 5-19-1 7-26-1 9-29-1 12-3-1 2-9-11 4-19-11 6-24-11 8-29-11 11-2-11 1-1-12 3-16-12 5-22-12 7-26-12 1-1-12 12-7-12 2-14-13 4-23-13 1.% 9.% 8.% 7.% 6.% 5.% 4.% 3.% 2.% 1.%.% Volatility (%) Average Average Volatility (%) Average Spread and Average Volatility of Russell 2 Index Constituents and Adjusted Close of IWM (Indexed to 1 on 1/2/28) 1/2/28-4/3/213 3 25 2 15 1 5 3/23-8 6-12-8 9-1-8 11-21-8 2-1-9 5-2-9 7-22-9 1-11-9 12-31-9 3-22-1 6-11-1 8-31-1 11-2-1 2-9-11 5-1-11 7-21-11 1-1-11 12-3-11 3-2-12 6-9-12 8-29-12 2-7-13 4-29-13 Average Russell 2 Spread Average Russell 2 Volatility Adjusted Close of IWM Source: ITG, Inc., Yahoo Finance
April 213 4 Average of MSCI WORLD Constituents 1/2/28-4/3/213 4 35 3 25 2 15 1 5 1-1-8 3-22-8 6-11-8 8-31-8 11-2-8 2-9-9 5-1-9 7-21-9 1-1-9 12-3-9 3-21-1 6-1-1 8-3-1 11-19-1 2-8-11 4-3-11 7-2-11 1-9-11 12-29-11 3-19-12 6-8-12 8-28-12 11-17-12 2-6-13 4-28-13 Average Volatility (%) of MSCI WORLD Constituents 1/2/28-4/3/213 7.% 6.% 5.% 4.% 3.% 2.% 1.%.% 1-1-8 3-22-8 6-11-8 8-31-8 11-2-8 2-9-9 5-1-9 7-21-9 1-1-9 12-3-9 3-21-1 6-1-1 8-3-1 11-19-1 2-8-11 4-3-11 7-2-11 1-9-11 12-29-11 3-19-12 6-8-12 8-28-12 11-17-12 2-6-13 4-28-13 Average Spread and Volatility of MSCI WORLD Constituents (Indexed to 1 on 1/2/28) 1/2/28-4/3/213 35 3 25 2 15 1 5 3-23-8 6-12-8 9-1-8 11-21-8 2-1-9 5-2-9 7-22-9 1-11-9 12-31-9 3-22-1 6-11-1 8-31-1 11-2-1 2-9-11 5-1-11 7-21-11 1-1-11 12-3-11 3-2-12 6-9-12 8-29-12 2-7-13 4-29-13 Volatility % MSCI WORLD Source: ITG, Inc., Yahoo Finance
April 213 5 Average of MSCI Emerging Markets Constituents 1/2/28-4/3/213 1 9 8 7 6 5 4 3 2 1 3-23-8 6-12-8 9-1-8 11-21-8 2-1-9 5-2-9 7-22-9 1-11-9 12-31-9 3-22-1 6-11-1 8-31-1 11-2-1 2-9-11 5-1-11 7-21-11 1-1-11 12-3-11 3-2-12 6-9-12 8-29-12 2-7-13 4-29-13 Average Volatility (%) of MSCI Emerging Markets Constituents 1/2/28-4/3/213 6.% 5.% 4.% 3.% 2.% 1.%.% 3-23-8 6-12-8 9-1-8 11-21-8 2-1-9 5-2-9 7-22-9 1-11-9 12-31-9 3-22-1 6-11-1 8-31-1 11-2-1 2-9-11 5-1-11 7-21-11 1-1-11 12-3-11 3-2-12 6-9-12 8-29-12 2-7-13 4-29-13 Average Spread and Volatility of MSCI Emerging Markets Constituents (Indexed to 1 on 1/2/28) 1/2/28-4/3/213 18 16 14 12 1 8 6 4 2 3-23-8 6-12-8 9-1-8 11-21-8 2-1-9 5-2-9 7-22-9 1-11-9 12-31-9 3-22-1 6-11-1 8-31-1 11-2-1 2-9-11 5-1-11 7-21-11 1-1-11 12-3-11 3-2-12 6-9-12 8-29-12 2-7-13 4-29-13 Spread Volatility MSCI Emerging Markets Source: ITG, Inc., MSCI Inc.
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