Index Variance Swap Levels

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Index Variance Swap Levels

  3 Mth Change 6 Mth Change 1 Yr Change 2 Yr Change
US
SPX 11.30% -0.10% 12.40% -0.20% 13.50% -0.10% 14.60% 0.00%
NDX 17.00% -0.40% 17.80% -0.30% 18.70% -0.20% 19.70% -0.10%
Asia
Nikkei 16.70% -0.40% 16.90% -0.30% 17.70% -0.10% 18.30% -0.10%
Kospi 17.20% -0.10% 18.40% 0.00% 19.30% 0.00% 19.80% -0.10%
Europe
Eurostoxx 15.20% -0.30% 16.40% -0.10% 17.10% -0.10% 18.00% -0.10%
DAX 15.60% -0.30% 16.60% -0.20% 17.30% -0.10% 18.30% -0.10%
Source: Bank of America


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