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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% -1.60% 12.80% -1.00% 13.70% -1.10% 14.80% -0.70%
DAX 14.10% -2.10% 15.60% -1.90% 17.00% -1.90% 18.30% -1.50%
Asia
Nikkei 17.30% -1.50% 17.40% -0.90% 17.50% -0.50% 18.60% -0.20%
Kospi 17.80% -0.90% 18.80% -0.40% 20.90% -0.30% 20.80% -0.20%
Europe
Eurostoxx 13.70% -2.30% 15.00% -1.40% 16.30% -1.30% 17.50% -1.10%
NDX 17.50% -1.20% 18.40% -0.90% 19.00% -1.10% 20.10% -0.60%
Source: Bank of America
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