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 14.70% 0.00% 15.40% 0.10% 16.00% 0.00% 17.00% 0.10%
NDX 20.40% -0.20% 20.80% -0.10% 21.50% 0.00% 22.10% 0.00%
Asia
Nikkei 23.30% 0.50% 21.50% 0.60% 20.10% -0.20% 20.50% 0.30%
Kospi 23.60% 4.80% 22.70% 4.60% 21.70% 4.80% 21.80% 4.00%
Europe
Eurostoxx 18.00% -0.70% 18.90% -0.20% 20.10% 0.60% 20.80% 0.50%
DAX 19.30% -0.50% 20.00% -0.20% 20.50% 0.00% 21.80% 0.60%
Source: Bank of America


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