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 11.20% -1.30% 12.70% -0.40% 13.70% -0.30% 14.60% -0.50%
NDX 17.40% -1.00% 18.30% -0.80% 19.10% -0.70% 20.00% -0.40%
Asia
Nikkei 17.10% -0.20% 17.50% -0.30% 18.00% -0.10% 18.60% -0.60%
Kospi 17.70% -0.10% 18.70% -0.10% 19.60% 0.00% 20.20% -0.10%
3 Mth Change 6 Mth Change 1 Yr Change 2 Yr Change
Europe
Eurostoxx 15.90% 0.50% 16.50% -0.10% 17.10% -0.10% 18.10% -0.10%
DAX 16.80% 1.10% 17.40% 0.20% 18.00% 0.30% 18.90% 0.20%
Source: Bank of America


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