Variance Swap Calculator

Calculate variance swap fair value, vega notional, and P&L. Variance swaps pay the difference between realized variance and strike variance on a notional amount. Used for pure volatility exposure without delta risk.

Principal ($)
Annual Rate (%)
Years
Compounding / Year
$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.
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How to Use

Enter the values for the scenario you are assessing. Calculate variance swap fair value, vega notional, and P&L. Variance swaps pay the difference between realized variance and strike variance on a notional amount. Used for pure volatility exposure without delta risk. Use the variance swap result to inform your calculation.

Frequently Asked Questions