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Variance swaps
Hi,I want to learn more about variance swaps and forward starting variance swaps. Does anybody have a primer or something else that they could send, my email is variswaps@googlemail.com?Compared to other forms trading volatility, what are the advantages/disadvantages with variance swaps and forward starting variance swaps to VIX futures or VIX options?Thank you very much for your help, I really need it.
Variance swaps
Look for "Everything you wanted to know about variance swaps, but less than can be said" on google. After you read the paper, the answer to your questions should be quite apparent.
Variance swaps
That's the Goldman paper, isn't it. I am just about to read that one but thought there might be some newer stuff out there.
Variance swaps
There are definitely newer stuff on the topic, notably in terms of the dynamics of the variance swap rate, on corridor variance swaps, options on variance swaps, VIX Futures..., but it might be better to start with the Goldman paper, which provides the fundamental points for this kind of product.
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- pedrogarcia
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Variance swaps
Hi everybody,I have implemented the Derman's paper in order to get the variance swap price. Now the problem is how to choose S0 and S* with a real skew (strikes from 70 to 130). I think that S* is K=100 (At the money strike). But S*?Thank you very much in advance,Miguel
Variance swaps
can somebody post the link to "Everything you wanted to know about variance swaps, but less than can be said" or zip. data will be great .i am not able to find this article in internet.thanks in advance
Variance swaps
Google : http://www.google.co.uk/search?hl=en&cl ... &meta=It's the first link
Variance swaps
S0 is fixed, so you don't have to choose it. S* is some liquidity threshold. So you could take the ATM (or ATM forward)
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- pedrogarcia
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Variance swaps
Hi everyone,I am calculating the variance swaps prices with the skews for different stocks. The procedure that I am following is Derman, the inputs are the skews of the different stocks. The problem that I have is how to calculate the variance swap price with only one value of the skew, that is, at the money implied volatility. Can someone explain me an accurated procedure to calculate the price in this scenario??Thanks in advance,
Variance swaps
If there is no skew you can still use Derman's approach. When you integrate w.r.t. strike over the vanilla call & put prices, just use /sigma(K) = /sigma(ATM), i.e. no strike dependency. The dominant driver of the expected realised variance will be the ATM vol - the skew is important but is of secondary importance.
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- pedrogarcia
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Variance swaps
Hi!!Thank you for your message. However, I cannot understant how I will replicate the log contract with only one strike ATM, because I cannot create a porftolio of put and calls (I have not slope with only one value..).Could you explain me a little more in detail your answer??Thank you very much again.
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- renatocarvalho
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Variance swaps
Dear Pedrogarcia,Could you help me. I am trying to replicate the Derman's model. However, I am not managing to reproduce the weights of each option that he shows in the paper. Is there any hidden detail on it?Many thanks in advance.Renato
Variance swaps
QuoteOriginally posted by: pedrogarciaHi!!Thank you for your message. However, I cannot understant how I will replicate the log contract with only one strike ATM, because I cannot create a porftolio of put and calls (I have not slope with only one value..).If you really only have one (ATM) vol available, a flat smile curve (zero slope) would be the 'canonical' assumption...The fair strike of your variance swap should then be this ATM vol. Or you could just guess a 'reasonable' skew...