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 13.00% -0.80% 14.10% -0.30% 14.80% -0.40% 16.10% -0.10%
NDX 19.10% -1.20% 20.00% -0.40% 20.60% -0.40% 21.30% -0.30%
Asia
Nikkei 18.60% 0.20% 18.20% -0.10% 18.00% -0.40% 18.20% -1.00%
Kospi 20.30% -0.10% 19.80% -0.10% 21.10% -0.10% 21.00% -0.10%
Europe
Eurostoxx 15.90% -0.70% 16.30% -0.70% 17.20% -0.60% 18.20% -0.40%
DAX 16.90% -0.60% 17.60% -0.50% 18.60% -0.50% 19.70% -0.40%
Source: Bank of America

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