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Derivatives

Index Variance Swap Levels

  3 Mth Change 6 Mth Change 1 Yr Change 2 Yr Change
US
SPX 12.00% 0.90% 13.00% 0.70% 13.80% 0.40% 14.90% 0.20%
NDX 18.60% 1.50% 19.60% 1.70% 20.20% 1.40% 20.70% 0.80%
Asia
Nikkei 16.80% 0.60% 16.70% 0.50% 16.70% 0.10% 17.40% 0.10%
Kospi 16.20% 0.00% 16.80% -0.10% 18.80% -0.10% 18.90% -0.10%
Europe
Eurostoxx 15.40% 1.10% 16.40% 1.00% 17.20% 0.70% 17.90% 0.50%
DAX 16.30% 2.10% 17.30% 1.80% 18.00% 1.30% 18.80% 0.90%
Source: Bank of America
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