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
SSPX 13.90% 2.20% 14.20% 1.50% 14.50% 0.90% 15.20% 0.40%
NDX 17.30% 2.30% 18.10% 1.70% 18.90% 1.60% 19.50% 1.30%
DAX 18.90% 3.60% 19.30% 3.20% 19.40% 2.40% 20.20% 1.80%
Europe
Eurostoxx 17.60% 3.50% 18.00% 2.90% 18.10% 2.00% 18.80% 1.50%
Asia
Nikkei 20.00% 2.10% 18.70% 0.80% 18.20% 0.10% 18.50% -0.30%
Kospi 22.90% 2.80% 23.10% 2.50% 23.70% 2.40% 24.10% 1.80%
Source: Bank of America


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