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Varswap spread
Hi there,Could someone tell me what the average spread is in a variance swap on euro indices? For example is it something like 144 - 146 for the DAX? And what is the minimal notional size for such a swap? 10,000 euros per variance point?Thanks in advance!Raver
Varswap spread
I typically see SX5E var swaps shown indicatively 1-1.5 vol points wide, and quoted firm rarely more than 50bp wide (often 20-30bp). Remember, those are in vol points, so the bid offers are actually even narrower in variance points.I haven't seen too many on less than about EUR25k vega, but I suppose there are dealers that would do them smaller.
Last edited by exotiq on May 22nd, 2005, 10:00 pm, edited 1 time in total.