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Derivatives

Index Variance Swap Levels

  3 Mth Change 6 Mth Change 1 Yr Change 2 Yr Change
US
SPX 13.50% -1.90% 14.10% -1.30% 14.80% -0.70% 15.80% -0.60%
NDX 19.10% -0.70% 19.30% -0.60% 19.60% -0.70% 20.40% -0.50%
Asia
Nikkei 20.50% 3.00% 19.40% 1.50% 19.00% 0.90% 19.20% 0.50%
Kospi 18.70% -0.40% 19.60% -0.10% 20.30% 0.00% 20.80% 0.00%
3 Mth Change 6 Mth Change 1 Yr Change 2 Yr Change
Europe
Eurostoxx 18.50% -1.20% 18.00% -1.40% 18.40% -0.90% 19.20% -0.70%
DAX 18.30% -0.90% 18.10% -1.10% 18.60% -0.80% 19.40% -0.70%
Source: Bank of America


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