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 13.20% 0.20% 14.00% -0.10% 14.90% 0.10% 15.80% -0.3
NDX 19.50% 0.40% 20.00% 0.10% 20.70% 0.10% 21.40% 0.00%
Asia
Nikkei 18.70% 0.00% 18.50% 0.30% 18.30% 0.30% 18.80% 0.60%
Kospi 21.70% 1.50% 21.10% 1.30% 20.90% -0.10% 21.40% 0.40%
Europe
Eurostoxx 16.20% 0.30% 16.50% 0.20% 17.50% 0.30% 18.50% 0.30%
DAX 17.10% 0.20% 17.80% 0.20% 18.80% 0.30% 20.00% 0.30%
Source: Bank of America

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