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 14.80% 0.80% 15.40% 0.50% 15.80% 0.20% 16.70% 0.40%
NDX 19.90% 1.50% 20.10% 0.80% 20.50% 0.50% 21.00% 0.30%
Asia
Nikkei 22.10% -0.10% 20.60% 0.00% 19.60% 0.20% 19.40% 0.50%
Kospi 22.10% 8.20% 21.40% 7.50% 21.20% 6.70% 21.20% 5.60%
Europe
Eurostoxx 18.50% 0.60% 18.80% 0.50% 19.10% 0.40% 20.00% 0.50%
DAX 18.40% 0.20% 19.00% 0.30% 19.70% 0.20% 20.70% 0.10%
Source: Bank of America

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