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Derivatives

Index Variance Swap Levels

  3 Mth Change 6 Mth Change 1 Yr Change 2 Yr Change
US
SPX 11.30% -0.30% 12.30% -0.40% 13.20% -0.30% 14.30% -0.10%
NDX 16.90% -0.50% 17.50% -0.30% 18.10% -0.20% 19.10% -0.10%
Asia
Nikkei 15.90% -0.20% 16.00% -0.20% 16.40% -0.20% 17.20% -0.20%
Kospi 18.00% -1.20% 18.50% -1.20% 20.50% 0.40% 20.60% -0.10%
Europe
Eurostoxx 14.50% -0.20% 15.20% -0.10% 16.20% -0.10% 17.20% -0.10%
DAX 14.30% 0.00% 15.60% 0.10% 16.80% 0.10% 17.90% 0.10%
Source: Bank of America
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