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Derivatives

Index Variance Swap Levels

  3 Mth Change 6 Mth Change 1 Yr Change 2 Yr Change
US
SPX 15.20% -0.60% 15.60% -0.30% 16.20% 0.20% 16.80% 0.00%
DAX 22.10% 1.70% 21.80% 1.60% 23.20% 1.70% 23.20% 1.50%
Asia
Nikkei 20.50% 0.10% 19.20% 0.10% 18.50% 0.10% 18.50% 0.00%
Kospi 23.80% 0.40% 23.90% 0.30% 24.10% 0.20% 24.20% 0.20%
Europe
Eurostoxx 20.30% 1.30% 20.00% 1.20% 19.80% 0.90% 20.20% 0.60%
NDX 19.50% -0.70% 20.20% -0.30% 20.60% 0.00% 21.10% 0.30%
Source: Bank of America
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