Variance Swap Fair Value Calculator

Compute the fair strike of a variance swap using the model-free replication formula. K_var = (2/T) * [sum over call and put options of option price / K^2 * dK], relating to the VIX^2 formula.

Principal ($)
Annual Rate (%)
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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 It Works

Compute the fair strike of a variance swap using the model-free replication formula. K_var = (2/T) * [sum over call and put options of option price / K^2 * dK], relating to the VIX^2 formula

Each component has a specific meaning:

  • Model-free replication formula — The model-free replication formula recorded for the scenario being assessed.

Note: Interpret the variance swap fair value result against the thresholds and context described above.

How to Use

Enter the model-free replication formula for the scenario you are assessing. Compute the fair strike of a variance swap using the model-free replication formula. K_var = (2/T) * [sum over call and put options of option price / K^2 * dK], relating to the VIX^2 formula. Use the variance swap fair value result to inform your calculation.

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Frequently Asked Questions