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Derivatives

Index Variance Swap Levels

  3 Mth Change 6 Mth Change 1 Yr Change 2 Yr Change
US
SPX 12.10% -0.50% 13.40% 0.00% 14.20% 0.20% 15.10% 0.00%
NDX 18.30% 0.20% 19.40% 0.40% 19.90% 0.50% 20.30% 0.10%
Asia
Nikkei 17.40% -0.40% 17.50% -0.40% 17.70% 0.00% 17.60% -0.30%
Kospi 17.70% -0.90% 18.90% -0.10% 19.70% 0.10% 20.60% 0.30%
Europe
Eurostoxx 15.30% -1.10% 16.30% -0.40% 16.90% -0.60% 17.80% -0.40%
DAX 15.50% -2.10% 16.60% -1.30% 17.30% -1.30% 18.30% -1.00%
Source: Bank of America
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