Index Variance Swap Levels
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Derivatives

Index Variance Swap Levels

  3 Mth Change 6 Mth Change 1 Yr Change 2 Yr Change
US
SPX 12.90% -0.20% 13.70% -0.20% 14.80% 0.00% 15.50% -0.10%
NDX 18.80% -0.40% 19.30% -0.30% 20.10% -0.30% 20.70% -0.30%
Asia
Nikkei 18.80% -0.20% 18.30% -0.20% 18.00% -0.10% 18.80% -0.10%
Kospi 18.80% -2.00% 19.30% -0.90% 21.10% -0.40% 21.00% -0.40%
Europe
Eurostoxx 16.00% 0.00% 16.40% 0.10% 17.60% 0.20% 18.60% 0.20%
DAX 16.20% -0.10% 17.50% -0.10% 18.90% -0.40% 19.90% -0.50%
Source: Bank of America

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