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 12.90% 0.70% 14.00% 0.60% 14.80% 0.50% 15.50% 0.40%
NDX 17.80% -0.40% 18.90% -0.30% 19.80% 0.00% 20.30% 0.20%
Asia
Nikkei 16.60% 0.60% 17.40% 0.70% 18.40% 0.40% 18.50% 0.10%
Kospi 17.80% 0.80% 19.00% 0.90% 20.10% 0.90% 20.60% 0.50%
Europe
Eurostoxx 15.40% -0.30% 16.60% -0.10% 17.40% 0.10% 18.50% 0.20%
DAX 16.20% 0.00% 17.30% -0.10% 18.30% 0.30% 19.30% 0.30%
Source: Bank of America

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