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 15.70% 1.80% 15.90% 1.70% 16.00% 1.40% 16.80% 1.60%
NDX 20.20% 2.90% 20.40% 2.30% 20.60% 1.70% 20.80% 1.30%
Asia
Nikkei 20.50% 0.50% 19.10% 0.50% 18.50% 0.30% 18.50% 0.00%
Kospi 23.50% 0.60% 23.60% 0.50% 23.90% 0.20% 24.10% 0.00%
Europe
Eurostoxx 19.10% 1.50% 18.80% 0.80% 18.90% 0.80% 19.60% 0.70%
DAX 20.30% 1.40% 20.20% 1.00% 21.40% 2.00% 21.70% 1.60%
Source: Bank of America


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