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Variance swap

A contract paying the difference between realised variance of an underlying over a period and a fixed strike, giving direct exposure to volatility rather than direction.

Payoff is the notional times the difference between realised variance and the strike variance. Because it is linear in variance and not in volatility, the payoff is convex in volatility: a doubling of volatility quadruples variance, which makes the short side's losses grow disproportionately.

The instrument exists because trading volatility with options requires constant delta hedging to remove directional exposure. A variance swap packages that hedged position, which is why its strike sits close to a weighted average of option implied-volatility across strikes.

Short variance positions carry severe tail risk and have caused notable losses in volatility spikes. Capped variants exist that limit the payoff at a multiple of the strike, and should be preferred by anyone selling. See volatility-arbitrage and dispersion-trade.

Related: volatility-arbitrage, dispersion-trade, implied-volatility, swaption, tail-risk, straddle

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