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 14.10% -1.50% 14.90% -0.90% 15.80% -0.50% 17.00% -0.30%
NDX 20.10% -1.10% 20.40% -0.90% 21.10% -0.70% 21.80% -0.50%
Asia
Nikkei 21.10% -0.60% 20.60% 0.30% 20.00% 0.00% 19.70% -0.50%
Kospi 21.40% 10.70% 20.70% 9.20% 21.30% 8.90% 21.80% 1.70%
Europe
Eurostoxx 17.60% -1.70% 18.10% -1.20% 18.70% -0.80% 19.70% -0.40%
DAX 15.60% -5.00% 15.80% -4.70% 16.60% -4.10% 17.60% -3.80%
Source: Bank of America

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