And variance swap strategies remain popular.May’s unexpected increase in equity market volatility, which led to big mark-to-market losses for some hedge funds, has not dented the variance swaps market ...

Selling down-variance: If the underlying is expected to stay below a given level then selling a down-variance swap (with a 105% trigger for example) could be more attractive than selling a variance ...

Variance swaps are already traded off-exchange in private deals. The revamped exchange-traded futures contracts will be centrally cleared, which should help companies lower costs, according to the ...

Cboe Announces Planned Launch of New Cboe S&P 500 Variance Futures July 22, 2024 Newly redesigned product aims to bring OTC variance swaps trading to the exchange-listed market Simplifies trading and ...

For those looking to hedge against or capitalize on volatility moves, we believe this new product will offer an accessible and capital-efficient way to replicate the exposures of OTC variance swaps." ...

Investors can play this through buying a variance swap computed using daily returns - thus betting that here volatility will rise - and selling on that uses weekly returns, where volatility is ...

In parallel, innovative methodologies for pricing variance and volatility swaps have been proposed, incorporating a stochastic equilibrium level and regime switching to better capture the non ...

This article examines the properties of the variance risk premium (VRP). We propose a flexible asset pricing model that captures co-jumps in prices and volatility, and self-exciting jump clustering.