Variance Futures

The latest addition to our growing volatility suite is the Variance Future (EVAR), our on-exchange complement to OTC variance swaps.

These innovative contracts replicate the payoff profile of OTC variance swaps. They are designed to fit the needs of a growing number of sophisticated investors who seek exposure to volatility and are simultaneously looking to benefit from exchange trading and central clearing efficiencies.

Key Benefits

  • Exposure to the difference between implied versus realized volatility
  • Create fungibility with futurization
  • Allow users to expand their equity portfolio hedging strategies
  • Give firms greater price transparency through a centralized order book
  • Mitigate risk with Eurex Clearing as the central counterparty
  • Expanded functionality and minimal latency on our leading T7 trading architecture

Contract Specifications


Clearing

  • The EURO STOXX 50® index close is required for the correct conversion from volatility to a futures price. For the required futures price update, the cancel/ reboot process was developed
  • Intraday, Eurex Exchange converts order book trades from vega to futures at a preliminary futures price
  • At end of day, Eurex Clearing automatically cancels preliminary trades and replaces them with trades based on the original vega notional and volatility strikes, but with a futures price that considers the EURO STOXX 50® close in its realized variance.
  • Block trades and other transactions are entered at their final futures price. In order to prevent clearing of preliminary trades, the clearing functionalities are available from 18:30 CET. At this point, the cancel/rebook process is finished and clients have their positions at the final futures prices.

Highlights

Variance Futures: volatility trading in its purest form

Sascha Semroch on how Variance Futures open up volatility trading in its purest form to a large variety of investors.

Contacts

Megan Morgan

Eurex | Sales Americas | Global Head of Equity & Index
Sales

Chicago, IL 60606

T +1-312-544-10 83




Sascha Semroch

Eurex Frankfurt AG
Equity and Index Product Research and Development

65760 Eschborn

T +49 69 2 11-1 50 78


Market Status

XEUR

The market status window is an indication regarding the current technical availability of the trading system. It indicates whether news board messages regarding current technical issues of the trading system have been published or will be published shortly.

We strongly recommend not to take any decisions based on the indications in the market status window but to always check the production news board for comprehensive information on an incident.

An instant update of the Market Status requires an enabled up-to date Java™ version within the browser.