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 13.40% -0.70% 14.60% -0.40% 15.50% -0.40% 16.80% -0.20%
NDX 20.30% 0.20% 21.10% 0.70% 22.50% 1.30% 24.20% 2.40%
Asia
Nikkei 20.00% -1.10% 19.90% -0.60% 19.80% -0.20% 20.30% 0.60%
Kospi 21.60% 0.10% 20.80% 0.10% 21.70% 0.40% 21.30% -0.50%
Europe
Eurostoxx 17.40% -0.20% 17.90% -0.20% 18.50% -0.20% 19.20% -0.50%
DAX 18.10% 2.60% 19.20% 3.40% 19.60% 3.00% 20.50% 3.00%
Source: Bank of America

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