Index Variance Swap Levels

16 Nov 2007

 3 MthChange6 MthChange1 YrChange2 YrChange
US
SPX26.38%1.8%25.93%1.4%25.51%0.8%25.37%0.8%
NDX29.94%“2,6%”30.05%2.3%29.23%1.7%29.40%1.7%
Asia
Nikkei29.67%2.0%27.67%1.9%25.98%1.9%26.31%1.7%
Kospi36.97%3.3%34.46%2.6%31.37%1.3%29.83%0.5%
Europe
Eurostoxx24.18%0.8%24.39%0.9%24.72%1.2%24.79%1.0%
DAX22.66%-0.4%23.64%0.0%24.00%0.3%24.80%40.0%
Source: Bank of America
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