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
U.S.
SPX 12.50% 1.20% 13.20% 1.00% 14.00% 0.70% 15.10% 0.40%
NDX 17.00% 0.70% 17.50% 0.60% 18.10% 0.30% 19.10% 0.10%
Asia
Nikkei 18.80% -0.90% 19.00% -0.80% 19.30% -0.60% 19.50%
Kospi 20.40% 20.70% 21.60% 22.80%
Europe
Eurostoxx 15.20% 0.50% 16.20% 0.50% 17.00% 0.90% 18.20% 0.30%
DAX 16.40% 1.00% 17.20% 0.70% 18.10% 1.00% 19.40% 0.20%
Source: Bank of America


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