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 13.90% -1.50% 14.90% -1.20% 15.60% -0.30% 16.40% -0.30%
NDX 18.50% -1.90% 19.30% -1.30% 20.10% -1.00% 20.70% -0.80%
Asia
Nikkei 22.10% -1.80% 20.50% -1.70% 19.40% -1.80% 18.90% -2.20%
Kospi 13.90% -9.40% 13.90% -10.70% 14.50% -9.30% 15.60% -8.10%
Europe
Eurostoxx 17.90% -2.10% 18.30% -1.30% 18.70% -0.80% 19.50% -0.70%
DAX 18.20% -1.30% 18.80% -0.90% 19.50% -0.50% 20.60% -0.40%
Source: Bank of America

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