我們如何展開索引(SPX)方差交換?


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客戶A到交易商以T = 0交易名義差額100萬美元。交易執行時,交易商的波動性很小,罷工為20。

交易商的定期收益=名義金額*(止損^ 2-成交量^ 2)

現在,在t = T1時,客戶返回命令以將方差互換的概念減少一半。

經銷商如何對沖剩餘的投資組合?

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Since variance is additive, your var swap at $t=t_1$ is the same as the realized cash pnl plus a new var swap traded on $t=t_1$ with strike being $K_1$ rather than $K_0$, with a variance amount being $\frac{T - t_1}{T}$ times the original variance amount, where $K_1$ is the fair strike on $t=t_1$ and $K_0$ is your old strike traded on $t=0$.

If you would like to unwind (part of) the var swap, what you are doing is just trading a new var swap with the same maturity as the old var swap. Therefore the dealer just hedge as how they normally hedge when trading var swaps.