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 18.20% 2.20% 18.10% 1.70% 18.10% 1.40% 17.10% -0.20%
NDX 21.80% 1.30% 22.10% 1.20% 22.10% 1.10% 22.20% 0.80%
Asia
Nikkei 24.40% 1.80% 22.50% 1.70% 21.30% 0.70% 20.80% 0.40%
Kospi 27.80% 0.00% 26.60% 0.60% 26.20% 0.80% 26.00% 1.00%
Europe
Eurostoxx 22.90% -0.10% 22.80% 2.30% 22.10% 1.60% 22.30% 1.50%
DAX 23.90% 1.70% 24.00% 2.80% 23.60% 2.40% 23.70% 2.00%
Source: Bank of America

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