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Derivatives

Index Variance Swap Levels

  3 Mth Change 6 Mth Change 1 Yr Change 2 Yr Change
US
SPX 11.40% 0.10% 12.60% 0.20% 13.60% 0.10% 14.70% 0.00%
NDX 17.40% -0.30% 18.10% -0.20% 18.90% -0.20% 19.80% -0.20%
Asia
Nikkei 17.20% 0.60% 17.20% 0.20% 17.80% 0.30% 18.40% 0.40%
Kospi 17.30% -0.60% 18.40% -0.40% 19.30% -0.10% 19.90% 0.00%
Europe
Eurostoxx 15.50% 0.00% 16.50% 0.20% 17.20% 0.20% 18.10% 0.10%
DAX 15.90% -0.60% 16.70% -0.50% 17.40% -0.40% 18.40% -0.30%
Source: Bank of America


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