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 15.60% 0.80% 15.80% 0.40% 16.40% 0.40% 17.30% 0.30%
NDX 21.20% 0.80% 21.40% 0.60% 21.80% 0.30% 22.30% 0.20%
Asia
Nikkei 21.70% -1.60% 20.20% -1.30% 20.00% -0.10% 20.20% -0.30%
Kospi 10.70% -12.90% 11.40% -11.30% 12.40% -9.30% 20.10% -1.70%
Europe
Eurostoxx 19.30% 1.20% 19.30% 0.40% 19.50% -0.60% 20.10% -0.70%
DAX 20.60% 1.30% 20.50% 0.50% 20.70% 0.20% 21.30% -0.50%
Source: Bank of America

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