Index Variance Swap Levels

December 21, 2006 12:00 AM

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	3 Mth	Change	6 Mth	Change	1 Yr	Change	2 Yr	Change
US
SPX	12.10%	0.00%	13.50%	0.10%	14.30%	0.10%	15.10%	0.00%
NDX	18.20%	-0.20%	19.20%	-0.20%	19.80%	-0.10%	20.10%	-0.20%
Asia
Nikkei	16.00%	-1.40%	16.70%	-0.70%	17.90%	0.30%	18.40%	0.80%
Kospi	17.00%	-0.70%	18.20%	-0.70%	19.20%	-0.60%	20.10%	-0.50%
Europe
Eurostoxx	15.70%	0.40%	16.70%	0.50%	17.30%	0.40%	18.30%	0.50%
DAX	16.20%	0.80%	17.40%	0.80%	18.00%	0.70%	19.00%	0.70%
Source: Bank of America

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