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 13.80% 0.80% 14.40% 0.30% 15.20% 0.20% 16.20% 0.20%
NDX 20.20% 0.60% 20.40% 0.50% 21.00% 0.20% 21.60% 0.10%
Asia
Nikkei 18.40% -0.10% 18.30% -0.20% 18.40% -1.00% 19.20% -0.70%
Kospi 20.30% -1.4 19.90% -1.30% 21.10% 0.20% 21.00% -0.30%
Europe
Eurostoxx 16.60% -0.30% 17.00% -0.50% 17.80% -0.40% 18.60% -0.30%
DAX 17.50% -0.30% 18.20% -0.60% 19.00% -0.40% 20.10% -0.30%
Source: Bank of America


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