Extracting SPX Index Options Variance Risk Premium is alive and well!

It's a pity variance swaps are not a listed product alongside options. I.e. would be great if all stocks with options also have variance swaps available as listed product. Enough interest for some parties/people to make some kind of market there...
 
qwerty11 said:
It's a pity variance swaps are not a listed product alongside options. I.e. would be great if all stocks with options also have variance swaps available as listed product. Enough interest for some parties/people to make some kind of market there...
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they were. No one traded them.

Varswaps are complicated because there is no real concept of “position size in shares” if you buy a varswap at 15 vol. you will sell a different amount of “shares” to flatten out at 20 vol. I forgot the formula as it’s no longer relevant to me: something like the (strike^2)/2 or something.

I figured they could have rolling varswaps so that the contract would accrue value and everyone would trade the same return series but that would not be industry convention.
 
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