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.
Variance Futures 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
Europe:
Matthew Riley
Eurex | Equity and Index Derivatives
Equity & Index Sales EMEA
11 Westferry Circus, 3nd Floor, Canary Wharf
London, E14 4HE
T +44 (0)207 8 62-72 13
Sascha Semroch
Eurex Frankfurt AG
Equity & Index Product Design
Mergenthalerallee 61
65760 Eschborn
T +49 69 2 11-1 50 78
