Variance Swap


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Variance Swap

A forward contract on the variance of a security. The variance is the square of the standard deviation. As a result, the payout on a variance swap is higher when the volatility increases. A variance swap allows the investor to speculate on volatility, just as a trader might speculate on the price of a stock; it is most advantageous when the volatility is or is expected to be high.
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He is co-inventor of the Eris Exchange's intellectual property, and also has been granted a patent for a method of trading a variance swap futures contracts, which has been licensed to both the CBOE and Eurex.
Content includes volatility surfaces, variance swap curves and forward curves for the top 13 global equity indices, with maturities from one month up to 10 years and strikes between 5% and 400% of spot.
2], which is realized over the life of the contract, and a fixed variance swap rate, [K.
Swap agreement risk: The Fund may enter into various types of swap agreements, including, but not limited to, credit default swaps, total return swaps, interest rate swaps, index swaps, currency swaps and variance swap agreements.
Variance futures replicate the pay-off profile of a variance swap using a daily-margined futures contract.
The change involves the timing of when CFE converts volatility points to futures prices so that the prices of VA futures are more directly comparable to prices in the over-the-counter (OTC) variance swap market.
Exercise, Valuation and Expiration of Option Transactions and Observation Days for Variance Swap Transactions under the 2002 ISDA Equity Derivatives Definitions
The VA futures contract is aimed at both existing OTC users and customers who have not traditionally participated in the OTC variance swap market - both who increasingly may be looking to use exchange-traded products to mitigate counterparty risk.
The new S&P 500 Variance futures contract is designed to offer benefits to both existing OTC users and to customers who have not traditionally participated in the OTC variance swap market.
The new S&P 500 Variance futures contract is designed to offer benefits to both current OTC users as well as to customers who have not traditionally participated in the OTC variance swap market.
plans to launch an equity index variance swap strategy in the third quarter of this year to take advantage of the persistent overpricing of broad based equity index volatility.
The graduate textbook explores variance and volatility swaps for financial markets with underlying assets following the Heston model, the valuation of variance swaps for stochastic volatilities with delay, a semi-Markov modulated market consisting of a riskless bond and a risky stock, variance and volatility swaps for volatilities driven by fractional Brownian motion, and explicit option pricing of a mean-reverting asset in energy markets.