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Derivatives

Index Variance Swap Levels

  3 Mth Change 6 Mth Change 1 Yr Change 2 Yr Change
US
SPX 15.40% -0.80% 16.10% -0.50% 15.90% -0.70% 16.70% -0.40%
NDX 20.30% 0.30% 20.60% 0.20% 21.10% 0.20% 21.50% -0.60%
Asia
Nikkei 23.90% 0.20% 22.20% 0.20% 21.20% 0.10% 21.10% 0.10%
Kospi 23.30% -2.20% 24.60% 0.00% 23.80% -0.30% 23.70% -0.90%
Europe
Eurostoxx 20.00% 1.20% 19.70% 1.00% 19.50% 0.80% 20.20% 0.50%
DAX 19.50% -0.10% 19.70% 0.10% 20.00% 0.20% 21.00% 0.20%
Source: Bank of America


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