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Derivatives

Index Variance Swap Levels

  3 Mth Change 6 Mth Change 1 Yr Change 2 Yr Change
US
SPX 11.60% 0.00% 12.70% 0.10% 13.50% 0.10% 14.40% -0.10%
NDX 17.40% -0.40% 17.80% -0.70% 18.30% -0.60% 19.20% -0.60%
Asia
Nikkei 16.10% -0.90% 16.10% -1.10% 16.60% -1.60% 17.40% -1.50%
Kospi 19.20% 2.70% 19.60% 2.90% 20.20% 3.30% 20.70% 3.40%
Europe
Eurostoxx 14.60% 0.40% 15.30% -0.20% 16.30% 17.30% 17.30% 0.00%
DAX 14.30% 0.00% 15.50% -0.20% 16.60% 17.80% 17.80% -0.10%
Source: Bank of America
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