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 12.60% 0.60% 13.40% 0.40% 14.10% 0.20% 15.10% 0.20%
NDX 18.20% -0.40% 19.10% -0.60% 19.50% -0.70% 20.20% -0.50%
Asia
Nikkei 17.80% 1.00% 17.80% 1.10% 17.70% 1.00% 17.90% 0.50%
Kospi 18.60% 2.40% 19.00% 2.20% 19.60% 0.80% 20.30% 1.40%
Europe
Eurostoxx 16.40% 1.00% 16.60% 0.20% 17.50% 0.30% 18.20% 0.30%
DAX 17.60% 1.30% 17.90% 0.60% 18.60% 0.60% 19.40% 0.50%
Source: Bank of America

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