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 12.50% -0.30% 13.50% -0.50% 14.30% -0.50% 15.20% -0.30%
NDX 17.90% 0.10% 19.00% 0.10% 19.70% -0.10% 20.30% -0.10%
Asia
Nikkei 17.80% 1.20% 18.10% 0.70% 18.60% 0.20% 19.20% 0.70%
Kospi 17.80% 0.00% 18.90% -0.10% 19.70% -0.40% 20.30% -0.30%
3 Mth Change 6 Mth Change 1 Yr Change 2 Yr Change
Europe
Eurostoxx 15.50% 0.10% 16.60% 0.00% 17.40% 0.00% 18.40% -0.10%
DAX 16.40% 0.20% 17.90% 0.60% 18.50% 0.20% 19.40% 0.10%
Source: Bank of America


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