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Clear

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Variance
Variance Futures

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

Matthew Koren
Equity & Index Sales America

T +1-917-495 2997

matthew.koren@eurex.com

Matthew Riley
Equity & Index Sales EMEA

T +44-20-78 62-72 13

matthew.riley@eurex.com

Sophie Granchi
Equity & Index Sales EMEA

T +33-0680347501

sophie.granchi@eurex.com

Jane Yeo
Equity & Index Sales Asia

T +852-2530-78 07

jane.yeo@eurex.com

Sascha Semroch
Equity & Index Product Design

T +49-69-2 11-1 50 78

sascha.semroch@eurex.com


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Market Status ⓘ

XEUR

Production newsboard

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.

Please find further information about incident handling in the Emergency Playbook published on the Eurex webpage under Support --> Emergencies and safeguards. Detailed information about incident communication, market re-opening procedures and best practices for order and trade reconciliation can be found in the chapters 4.2, 4.3 and 4.5, respectively. Concrete information for the respective incident will be published during the incident via newsboard message. 

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