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% -0.40% 13.10% -1.00% 14.00% -0.70% 15.10% -0.40%
NDX 18.40% 0.60% 19.10% 0.20% 19.80% 0.00% 20.40% 0.10%
Asia
Nikkei 17.30% 0.70% 17.70% 0.30% 18.10% -0.30% 19.20% 0.70%
Kospi 17.70% -0.10% 18.80% -0.20% 19.60% -0.50% 20.30% -0.30%
Europe
Eurostoxx 15.40% 0.00% 16.60% 0.00% 17.20% -0.20% 18.20% -0.30%
DAX 15.70% -0.50% 17.20% -0.10% 17.70% -0.60% 18.70% -0.60%
Source: Bank of America

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