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 13.10% -0.10% 13.90% -0.10% 14.80% -0.10% 15.60% -0.20%
NDX 19.10% -0.40% 19.70% -0.40% 20.40% -0.30% 21.00% -0.30%
Asia
Nikkei 19.00% 0.30% 18.50% 0.00% 18.10% -0.20% 18.90% 0.10%
Kospi 20.80% -0.90% 20.20% -0.90% 21.50% 0.50% 21.40% 0.00%
Europe
Eurostoxx 16.00% -0.20% 16.30% -0.20% 17.40% -0.20% 18.40% -0.20%
DAX 16.30% -0.80% 17.50% -0.30% 19.20% 0.40% 20.40% 0.30%
Source: Bank of America

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