Variance Swaps

A variance swap is created with a vega notional of EUR 60,000 and a volatility strike of 18, suggesting a variance strike of 324. What is the variance notional, rounded to the nearest EUR?

Correct!

Incorrect.

Variance notional is calculated as: > $$\displaystyle \text{Variance notional} = \frac{\text{Vega notional}}{2 \times \text{Volatility strike}} = \frac{60{,}000}{2 \times 18} \approx 1{,}666.67$$. The variance notional, rounded to the nearest EUR, is EUR 1,667.

Other responses

1667