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中文题目Two one-year equity option surfaces have the same ATM implied volatility, but Surface B has much more expensive downside puts than Surface A. Why can Surface B still imply a meaningfully higher fair variance-swap strike?
打开 →A quarter has only two very large overnight gap moves and otherwise tiny close-to-close returns. Why can realized variance still end up far above what a smooth diffusion intuition would suggest?
打开 →Why can simple-return and log-return fixing conventions differ materially once moves become large?
打开 →Why can a variance swap mark-to-market move even if the headline implied-vol surface looks unchanged at first glance?
打开 →Why does a capped variance swap usually trade cheaper than an uncapped one with the same strike?
打开 →Why can discrete jumps make the simple diffusion-based variance-swap replication less exact?
打开 →Why might a desk prefer a corridor variance swap to a plain variance swap?
打开 →A 252-day variance swap assumes instantaneous volatility 0.4 during an event window of unknown length d trading days and volatility 0.2 during the remaining days. If the annualized fair volatility strike is 0.3, approximately how many trading days does the event window last?
打开 →A 100-day variance swap has observed 50 days. Realized variance so far is 0.041, and the live fair strike is 0.0395. What forward variance for the remaining life is implied?
打开 →A 90-day variance swap has observed 30 trading days. Realized variance so far is 0.035, and the current fair full-life variance strike is 0.038333333. What forward variance for the remaining 60 days is implied?
打开 →A 60-day variance swap has observed 20 trading days. Realized variance so far is 0.028, and the current fair variance strike is 0.030666667. What forward variance for the remaining life is implied?
打开 →A 120-day variance swap has observed 45 days. Realized variance so far is 0.05, and the live fair full-life strike is 0.045. What forward variance for the remaining 75 days is implied?
打开 →A variance swap uses RV = (252/n) * sum r_t^2 with n=4 observations. Three simple returns are 0.01, -0.02, and 0.015. What absolute fourth return |r_4| would make RV exactly equal the strike 0.04725, so the running payout is zero?
打开 →A variance swap uses RV = (252/n) * sum r_t^2 with n=4 observations. Three simple returns are 0.008, -0.012, and 0.006. What absolute fourth return |r_4| would make RV exactly equal the strike 0.021672?
打开 →A variance swap uses RV = (252/n) * sum r_t^2 with n=4 observations. Three returns are 0.02, -0.015, and 0.005. What absolute fourth return |r_4| makes RV exactly 0.04725?
打开 →A variance swap uses RV = (252/n) * sum r_t^2 with n=4 observations. Three returns are 0.012, 0.011, and -0.009. What absolute fourth return |r_4| makes RV exactly 0.024885?
打开 →A variance swap uses RV = (252/n) * sum r_t^2 with n=4 observations. Three returns are 0.015, -0.005, and -0.012. What absolute fourth return |r_4| makes RV exactly 0.045234?
打开 →A variance swap has notional 100000 and variance strike 0.04, while a vol swap has vega notional 45000 and volatility strike 0.2. Other than the trivial case sigma_real = 0.2 where both are at strike, what realized volatility makes the two payouts equal?
打开 →A variance swap has notional 80000 and variance strike 0.0324, while a vol swap has vega notional 26400 and volatility strike 0.18. Other than sigma_real = 0.18, what realized volatility makes the payouts equal?
打开 →A variance swap has notional 120000 and variance strike 0.0625, while a vol swap has vega notional 66000 and volatility strike 0.25. Other than sigma_real = 0.25, what realized volatility makes the two payouts equal?
打开 →Around the volatility strike K_vol, a variance swap with variance notional N_var is often locally matched to a vol swap with vega notional N_vega via N_vega = 2*K_vol*N_var. If N_var=100000 and N_vega=40000, what K_vol is implied?
打开 →Using N_vega = 2*K_vol*N_var, if N_var=75000 and N_vega=27000, what volatility strike K_vol is implied?
打开 →Using N_vega = 2*K_vol*N_var, if N_var=120000 and N_vega=60000, what K_vol is implied?
打开 →When a variance swap is already running, why does mark-to-market depend on both realized-to-date variance and the market's remaining forward variance?
打开 →Why can changing the sampling frequency alter a variance swap even if the overall price path looks similar by eye?
打开 →Why does the classic static-replication formula for a variance swap involve a strip of OTM options and a log-contract identity?
打开 →A one-year variance forecast says annualized volatility will be 0.15 in a calm regime and 0.35 in a stress regime. If the fair variance-swap volatility strike is 0.24, what risk-neutral probability of the stress regime is implied by the variance forecast?
打开 →A variance-swap fixing uses RV = (252/n) * sum r_i^2 with n=4. Three logged returns have already been recorded: [0.015, -0.005, -0.012]. What absolute missing return |r_4| would make the realized variance equal 0.045234?
打开 →A variance-swap fixing uses RV = (252/n) * sum r_i^2 with n=4. Three logged returns have already been recorded: [0.01, -0.02, 0.015]. What absolute missing return |r_4| would make the realized variance equal 0.04725?
打开 →A variance-swap fixing uses RV = (252/n) * sum r_i^2 with n=4. Three logged returns have already been recorded: [0.012, 0.011, -0.009]. What absolute missing return |r_4| would make the realized variance equal 0.024885?
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