The evolution of variance

Cover story


Liquidity of variance swaps – contracts where the cash payout is equal to the notional multiplied by the difference between the realised variance of the underlying and a pre-agreed variance strike over the life of the swap – has increased dramatically in the past nine months. "We believe the market for variance swaps is more than e1 billion in vega this year," says Richard Carson, Deutsche Bank's London-based global head of structured products trading. Vega measures the change in an

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: