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Advanced Equity derivatives article

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Volatility Derivatives

Option traders who hedge their delta have long realized that their option

book is exposed to many other market variables, chief of which is volatility.

In fact we will see that the P&L on a delta-hedged option position is driven

by the spread between two types of volatility: the instant realized volatility of

the underlying stock or stock index, and the options implied volatility. Thus

option traders are specialists of volatility, and naturally they want to trade

it directly. This prompted the creation of a new generation of derivatives:

forward contracts and options on volatility itself.

Delta-hedged options may be used to trade volatility, specifically the gap

between implied volatility * and realized volatility another word for

historical volatility. To see this consider the P&L breakdown of an option

position over a time interval t:

Copyright 2014. Wiley. All rights reserved.

1

P&Lt = (S) + (S)2 + (t) + (r) + ( ) +

2

where , , , , are the options Greeks, S is the change in underlying

spot price, r is the change in interest rate, * is the change in implied

volatility, and are high-order terms completing the Taylor expansion.

Assuming that the option is delta-hedged, the interest rate and implied

volatility are constant, and high-order terms are negligible, we may write:

1

P&Lt (S)2 + (t)

2

Bossu, SCPCP 2014, Advanced Equity Derivatives, Wiley, Somerset. Available from: ProQuest Ebook Central. [8 March 2017].

59

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60 ADVANCED EQUITY DERIVATIVES

12 S2 2

where S is the initial spot price. Substituting this result and

factoring by the dollar gamma 12 S2 we obtain the P&L proxy equation:

[( )2 ]

( )2

1 S

P&Lt S2 t

2 S

( )2

The quantity S S

is the squared realized return on the underlying

asset; for short t it may be viewed as instant realized variance. The

delta-hedged options P&L is thus determined by the difference between

realized and implied variances multiplied by the dollar gamma. In particular,

for positive dollar gamma, the P&L is positive whenever realized variance

exceeds implied variance, breaks even when both quantities are equal, and

is negative whenever realized variance is lower than implied variance.

If the option is delta-hedged at N regular intervals of length t until

maturity, the cumulative P&L proxy equation is then:

[( ) ]

St 2 ( )2

N1

1 2

Cumulative P&L S t (5.1)

2 t=0 t t St

weighted by dollar gammas over the options lifetime.

The continuous-time version of Equation (5.1) was derived by Carr and

Madan (1998) and is exact rather than approximate:

1

T [ ]

Cumulative P&L = er(Tt) t S2t t2 2 dt (5.2)

2 0

where r is the continuous interest rate and t is the instant realized volatility

at time t.

Copyright 2014. Wiley. All rights reserved.

In practice this rather clear picture is blurred by the fact that implied

volatility varies over time, impacting hedge ratios and thus P&L.

The cumulative P&L equations also have another interpretation: An

option issuer is in the business of underwriting option payoffs and then repli-

cating them by trading the underlying asset. In the Black-Scholes world, such

replication is riskless, but in practice there is a mismatch given by the cumu-

lative P&L equations (subject to their assumptions). At times the mismatch

is negative, and at other times it is positive, resulting in a distribution of

possible P&L outcomes. By the law of large numbers and the central-limit

theorem, repeating option transactions often for a small profit narrows the

P&L distribution of the option book and results in positive revenues on

average.

Bossu, SCPCP 2014, Advanced Equity Derivatives, Wiley, Somerset. Available from: ProQuest Ebook Central. [8 March 2017].

Created from uts on 2017-03-08 00:01:43.

Volatility Derivatives 61

Variance swaps appeared in the mid-1990s as a means to trade (the square

of) volatility directly rather than through delta-hedging. Their attractive

property is that they can be approximately replicated with a static portfolio

of vanilla options, providing a robust fair price.

Recently the Chicago Board Options Exchange (CBOE) launched

a redesigned version of their variance futures with a quotation system

matching over-the-counter (OTC) conventions. This interesting initiative

may signal a shift from OTC to listed markets for variance swaps.

From the buyers viewpoint, the payoff of a variance swap on an underlying

S with strike Kvar and maturity T is:

2

Variance Swap Payoff = 10,000 (Realized K2var )

on S between t = 0 and t = T under zero-mean assumption:

252 N1

2 Si+1

Realized = ln

N i=0 Si

For example, a one-year variance swap on the S&P 500 struck at 25%

pays off 10,000 (0.262 0.252 ) = $51 if realized volatility ends up at

26%. Figure 5.1 shows the variance swap payoff as a function of realized

volatility. We can see that the shape is convex quadratic, which implies that

Copyright 2014. Wiley. All rights reserved.

Payoff

Kvar Realized

10,000 K 2var

realized volatility.

Bossu, SCPCP 2014, Advanced Equity Derivatives, Wiley, Somerset. Available from: ProQuest Ebook Central. [8 March 2017].

Created from uts on 2017-03-08 00:01:43.

62 ADVANCED EQUITY DERIVATIVES

profits are amplified and losses are discounted as realized volatility goes

away from the strike.

In practice the quantity of variance swaps is often specified in vega

notional, for example, $100,000. This means that, close to the strike,

each realized volatility point in excess of the strike pays off approximately

$100,000. This is achieved by setting the actual quantity, called variance

notional or variance units as:

Vega notional

Variance units =

200 Kvar

For example, with a 25% strike and $100,000 vega notional, the num-

ber of variance units is simply 2,000. If realized volatility is 26% the payoff

is 2,000 [$10,000 (.262 .252 )] = $102,000 which is close to the vega

notional as required.

investors to trade variance swaps in a standardized format with all the

benefits of listed securities: price transparency, market-making require-

ments, liquidity.

The futures are available in 1-, 2-, 3-, 6-, 9-, and 12-month

rolling maturities. The strike is set the day before the start date

(typically the third Friday of the month) using a VIX-type calculation

(see Section 5-4).

Trading conventions were adjusted to reflect OTC market prac-

tices, in particular:

Copyright 2014. Wiley. All rights reserved.

until maturity.

The quantity is set to $1,000 vega notional, which is converted

into variance units at trade execution.

On the expiration date, the exchange will credit or debit the

difference between realized variance and the square of strike,

adjusted to cancel the effects of the daily variation margin.

Variance swaps trade mostly over the counter. Table 5.1 shows mid-market

prices for various underlyings and maturities.

Bossu, SCPCP 2014, Advanced Equity Derivatives, Wiley, Somerset. Available from: ProQuest Ebook Central. [8 March 2017].

Created from uts on 2017-03-08 00:01:43.

Volatility Derivatives 63

Stock Indexes as of August 21, 2013

3 months 16.50 20.89 28.35

6 months 18.01 22.22 27.55

12 months 19.59 23.88 26.98

18 months 20.43 24.50 26.22

24 months 21.20 25.12 26.16

As stated earlier, variance swaps can be replicated using a static portfolio of

calls and puts of the same maturity, which must then be delta-hedged. To

see this, we must explicate the connection between variance swaps and the

log-contract whose payoff is ln ST /F where F is the forward price.

Applying the Ito-Doeblin theorem to ln St yields:

T T T T

ST 1 1 1 2 1 1

ln = dSt (dSt ) = dS 2 dt

S0 0 St 2 0 S2t 0 St t 2 0 t

tic. Rearranging terms, we can see that realized variance may be replicated

by continuously maintaining a position of 2/St in the underlying stock and

holding onto a certain quantity of log-contracts:

T T

1 S

t2 dt = 2 dS 2 ln T

0 0 St t S0

Assuming that the risk-neutral dynamics of the underlying price are of

Copyright 2014. Wiley. All rights reserved.

the

( form dSt =

) t St dt(+ t St dW)t where t is the risk-neutral drift, we have

T T

1

dSt = dt = ln SF and thus the fair value of variance

0 St 0 t 0

( ) ( )

T

S

t dt = 2 ln T

2

0 F

The log-contract does not trade, but from Section 3-2 we know that any

European payoff can be decomposed as a portfolio of calls and puts struck

along a continuum of strikes. Specifically we have the identity:

F

ST S 1 1

ln =1 T + max(0, K ST )dK + max(0, ST K)dK

F F 0 K

2 F K2

Bossu, SCPCP 2014, Advanced Equity Derivatives, Wiley, Somerset. Available from: ProQuest Ebook Central. [8 March 2017].

Created from uts on 2017-03-08 00:01:43.

64 ADVANCED EQUITY DERIVATIVES

which is:

Long all puts struck at K < F in quantities dK / K2

Long all calls struck at K > F in quantities dK / K2

( ) [ F ]

2 ST 2erT 1 1

K2var = ln = p (K) dK + c(K)dK

T F T 0 K2 F K2

where r is the interest rate for maturity T, p(K) is the price of a put struck

at K, and c(K) is the price of a call struck at K.

In practice only a finite number of strikes are available, and we have the

proxy formula:

[ n

( ) n+m

]

2erT p Ki c(Ki )

K2var Ki + Ki , (5.3)

T i=1 K2i i=n+1 K2i

where K1 < < Kn F Kn+1 < < Kn+m are the successive strikes

of n puts worth p(Ki ) and m calls worth c(Ki ), and Ki = Ki Ki1 is the

strike step.

A more accurate calculation based on overhedging of the log-contract

is discussed in Demeterfi, Derman, Kamal, and Zhou (1999). An alternative

derivation of the hedging portfolio and price based on the property that

variance swaps have constant dollar gamma can be found in Bossu, Strasser,

and Guichard (2005).

Copyright 2014. Wiley. All rights reserved.

Two variance swaps with maturities T1 < T2 may be combined to capture the

forward variance observed between T1 and T2 . Indeed under the zero-mean

assumption variance is additive and thus:

2 2 2

T1 Realized (0, T1 ) + (T2 T1 )Realized (T1 , T2 ) = T2 Realized (0, T2 )

2

where Realized (s, t) denotes realized volatility between times s and t. Thus:

2 T2 2 T1

Realized (T1 , T2 ) = Realized (0, T2 ) 2 (0, T1 )

T2 T1 T2 T1 Realized

Bossu, SCPCP 2014, Advanced Equity Derivatives, Wiley, Somerset. Available from: ProQuest Ebook Central. [8 March 2017].

Created from uts on 2017-03-08 00:01:43.

Volatility Derivatives 65

This implies that the fair strike of a forward variance swap is:

T2 T1

Kvar (T1 , T2 ) = K2var (0, T2 ) K2 (0, T1 )

T2 T1 T2 T1 var

T2

and, when interest rates are zero, the corresponding hedge is long T2 T1

1 T

variance swaps maturing at T2 and short T T variance swaps maturing

2 1

at T1 .

When interest rates are non-zero, the quantity of the short leg should be

T1

adjusted to T T er(T2 T1 ) because the near-term variance swap payoff at

2 1

time T1 will carry interest r between T1 and T2 .

Variance swaps are the simplest kind of realized volatility derivatives; that is,

derivative contracts whose payoff is a function f (Realized ) of realized volatil-

ity. Other examples include:

( )

2

Variance calls, with payoff max 0, Realized K

( )

2

Variance puts, with payoff max 0, K Realized

Volatility swaps are offered by some banks to investors who prefer them

to variance swaps. Deep out-of-the-money variance calls are often embedded

in variance swap contracts on single stocks in the form of a cap on realized

variance; this is because variance could explode when, for instance, the

underlying stock is approaching bankruptcy.

Copyright 2014. Wiley. All rights reserved.

Note that the volatility swap strike Kvol must be less than the variance

swap strike Kvar under penalty of arbitrage. This property may also be seen

through Jensens inequality:

( ) ( )

Kvol = 2

Realized 2

Realized = Kvar

Kvar

The ratio Kvol

1 is called the convexity adjustment by practitioners.

Valuing realized volatility derivatives requires a model. Since realized

variance is tradable, a natural idea here is to think of it as an underlying

asset and apply standard option valuation theory.

Bossu, SCPCP 2014, Advanced Equity Derivatives, Wiley, Somerset. Available from: ProQuest Ebook Central. [8 March 2017].

Created from uts on 2017-03-08 00:01:43.

66 ADVANCED EQUITY DERIVATIVES

tradable asset, realized variance is a mixture of past variance and future

variance; specifically:

t 2 Tt 2

vt = (0, t) + Kvar (t, T) (5.4)

T T

where vt is the forward price of variance started at time 0 and ending at time

T, (0,t) is the historical volatility observed over [0, t] and Kvar (t,T) is the

fair strike at time t of a new variance swap expiring at time T.

Therefore we cannot assume that the volatility of vt is constant as in the

Black-Scholes model. Instead we may assume forward-neutral dynamics of

the form:

Tt

dvt vt = 2 dWt

T

where is a volatility of (future) volatility parameter and 2 is a conversion

factor from volatility to variance.1 In this fashion the diffusion coefficient

2 Tt

T

linearly collapses to zero as we approach maturity, as suggested by

Equation (5.4).

This simple modeling approach allows us to find closed-form formulas

for the price of many realized volatility derivatives. For example, the fair

strike of a volatility swap can be shown to be:

( )

1 2

Kvol = Kvar exp T

6

( )

Kvar 1 2

and thus the convexity adjustment is simply Kvol

= exp 6

T .

Given Kvol and Kvar from the market we may then estimate :

Copyright 2014. Wiley. All rights reserved.

6 Kvar

= ln

T Kvol

Lee (2009), the fair value of realized volatility may be approximated with

at-the-money implied volatility. For example, if one-year fair variance

is 30%

and one-year at-the-money implied volatility is 28%, we find

6 ln 30%

28%

= 64.3%.

1

Applying the Ito-Doeblin theorem to vt we indeed obtain dynamics of the form

d vt vt = dt + Tt

T

dWt .

Bossu, SCPCP 2014, Advanced Equity Derivatives, Wiley, Somerset. Available from: ProQuest Ebook Central. [8 March 2017].

Created from uts on 2017-03-08 00:01:43.

Volatility Derivatives 67

Implied volatility derivatives are derivative contracts whose payoff is a

function f (Implied ) of implied volatility. There are many choices for implied

volatility and the most popular one is the Volatility Index (VIX) calculated

by CBOE, which is the short-term fair variance derived from listed options

on the S&P 500 in accordance with Equation (5.3).

The VIX is not a tradable asset, but CBOE nevertheless developed VIX

futures and VIX options, which have become increasingly popular.

Specifically, the VIX is a pro rata temporis average of two subindexes

based on front- and next-month2 listed options in order to reflect the 30-day

expected volatility. Each subindex is calculated according to the generalized

formula: ( )2 ( )

VIX 2erT Ki 1 F

= Q(Ki ) 1

100 T i K2 T K0

i

where:

T is the maturity

r is the continuous interest rate for maturity T

F is the forward price of the S&P 500 derived from listed option prices

K0 is the first strike below F

Ki is the strike price of the |i|th out-of-the money listed option: a call if

i > 0 and a put if i < 0

Ki is the interval between strike prices measured as 12 (Ki+1 Ki1 )

Q(Ki ) is the mid-price of the listed call or put struck at Ki .

There are many other practical details that can be found in the CBOE

white paper on VIX (2009), such as how exactly the forward price is calcu-

lated or how the constituent options are selected.

Copyright 2014. Wiley. All rights reserved.

VIX futures are futures contracts on the VIX. On the settlement date T the

following dollar amount is credited or debited by the exchange:

1,000 (VIXT Futt )

where 1,000 is the multiplication factor, VIXT is the settlement level3 of the

VIX, and Futt is the trading price at time t.

2

Or the second- and third-month listed options if front-month options expire in less

than one week.

3

Note that VIX futures do not settle the VIX itself but a special opening quotation

of the VIX determined by automated auction of the constituent options prior to the

opening of trading.

Bossu, SCPCP 2014, Advanced Equity Derivatives, Wiley, Somerset. Available from: ProQuest Ebook Central. [8 March 2017].

Created from uts on 2017-03-08 00:01:43.

68 ADVANCED EQUITY DERIVATIVES

30

25

20

15

10

0

Spot Oct 12 Nov 12 Dec 12 Jan 13 Feb 13 Mar 13 Apr 13 May 13 Jun 13

Source: Bloomberg.

Figure 5.2 shows the term structure of VIX futures as of September 26,

2012. We can see that the curve is upward sloping; however, at times it

may be downward sloping because VIX futures, contrary to stock or equity

index futures, are not constrained by any carry arbitrage since the VIX is

not a tradable asset.

It is worth emphasizing that VIX futures are bets on the future level

of implied volatility, which itself is the markets guess at subsequent

realized volatility. In this sense VIX futures are forward contracts on

forward realized volatilitya potentially difficult level of forwardness to

deal with.

Close to expiration, the futures tend to be highly correlated with the

Copyright 2014. Wiley. All rights reserved.

VIX. When futures expire in a month, they have about 0.5 correlation with

the VIX. Futures that expire in five months or more exhibit almost no cor-

relation.

VIX options are vanilla calls and puts on the VIX. On the settlement date T

the following dollar amount is credited or debited by the exchange:

For a put: 100 max (0, K VIXT )

Bossu, SCPCP 2014, Advanced Equity Derivatives, Wiley, Somerset. Available from: ProQuest Ebook Central. [8 March 2017].

Created from uts on 2017-03-08 00:01:43.

Volatility Derivatives 69

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

1m 2m 3m 4m 5m 6m

September 26, 2012.

Source: Bloomberg.

where 100 is the multiplication factor, VIXT is the settlement level4 of the

VIX, and K is the strike level.

For lack of a better consensus model, VIX option prices are commonly

analyzed through Blacks model to compute VIX implied volatilities.

Figure 5.3 shows the term structure of at-the-money VIX implied volatility.

We can see that the shape is downward sloping: short-term VIX futures are

expected to be more volatile than long-term ones.

Similar to VIX futures, VIX option prices tend to have high correla-

tion with the VIX close to expiration and low correlation far away from

expiration.

Synthetic put-call parity holds for VIX options, which entails that VIX

Copyright 2014. Wiley. All rights reserved.

(VIX Future Price Strike)

4

Note that VIX options do not settle the VIX itself but a special opening quotation

of the VIX determined by automated auction of the constituent options prior to the

opening of trading.

Bossu, SCPCP 2014, Advanced Equity Derivatives, Wiley, Somerset. Available from: ProQuest Ebook Central. [8 March 2017].

Created from uts on 2017-03-08 00:01:43.

70 ADVANCED EQUITY DERIVATIVES

REFERENCES

Bossu, Sbastien. 2005. Arbitrage Pricing of Equity Correlation Swaps. JPMorgan

Equity Derivatives report.

Bossu, Sbastien, Eva Strasser, and Rgis Guichard. 2005. Just What You Need to

Know about Variance Swaps. JPMorgan Equity Derivatives report.

Carr, Peter, and Roger Lee. 2009. Volatility Derivatives. Annual Review of Finan-

cial Economics 1: 121.

Carr, Peter, and Dilip Madan. 1998. Towards a Theory of Volatility Trading.

In Volatility: New Estimation Techniques for Pricing Derivatives, edited by

R. Jarrow, 417427. London: Risk Books.

The CBOE Volatility IndexVIX. 2009. CBOE White Paper.

Demeterfi, Kresimir, Emanuel Derman, Michael Kamal, and Joseph Zhou. 1999.

More than You Ever Wanted to Know about Volatility Swaps. Goldman Sachs

Quantitative Strategies Research Notes, March.

PROBLEMS

Consider a long position in 10,000 one-year at-the-money calls on ABC

Inc.s stock currently trading at $100. Assume zero interest rates and div-

idends and 30% implied volatility.

(a) Suppose the real stock price process is a geometric Brownian motion

with 5% drift and 29% realized volatility. Simulate the evolution of the

cumulative delta-hedging P&L with 252 time steps using Equation (5.1).

Show one path where the final P&L is positive and one path where it is

negative.

(b) Using 10,000 simulations, compute the empirical distribution of the final

cumulative delta-hedging P&L. What is the average P&L?

Copyright 2014. Wiley. All rights reserved.

(a) You are long a call, which you delta-hedge continuously until maturity.

Your cumulative P&L is given by Equation (5.2).

i. Suppose the real stock price process is a geometric Brownian

motion with drift and realized volatility > * . Show that you are

guaranteed a positive profit.

ii. Suppose the real stock price process is dSt St = t dt + t dWt

where t and t are stochastic with t (t2 ) > 2 . Show that your

expected P&L (unconditionally from time 0) is positive.

Bossu, SCPCP 2014, Advanced Equity Derivatives, Wiley, Somerset. Available from: ProQuest Ebook Central. [8 March 2017].

Created from uts on 2017-03-08 00:01:43.

Volatility Derivatives 71

(b) You are long two one-year calls in quantities q1 and q2 on two indepen-

dent underlying stocks, which you delta-hedge continuously until matu-

rity. Suppose that the distributions of the two cumulative P&L equations

are normal with means m1 , m2 , and standard deviations s1 , s2 . What is

the distribution of the aggregate cumulative P&L of your option book?

Show that its standard deviation must be less than (q1 + q2 ) max(s1 , s2 ).

Using your SVI calibration results from Problem 2.5 and assuming zero inter-

est rates, estimate the corresponding fair variance swap strike in accordance

with Equation (5.3).

A generalized variance swap has payoff:

( N1

)

252 ( ) 2 Si+1

10,000 f Si ln K2gvar

N i=0 Si

where f(S) is a general function of the underlying spot price S, St is the spot

price at time t, N is the number of trading days until maturity, and Kgvar is

the strike level. Assume zero interest and dividend rates, and that dSt St =

t dWt under the risk-neutral measure.

S y

f (x)

(a) Let g(S) = dy dx. Using the Ito-Doeblin theorem, show that:

1 1 x2

T T

f (St )t2 dt = 2g(ST ) 2g(S0 ) 2 g (St )dSt

0 0

Copyright 2014. Wiley. All rights reserved.

What can you infer about the fair value and hedging strategy of gener-

alized variance?

(b) Show that the fair strike is

( )

2 S0

f (K)

f (K)

Kgvar = p(K)dK + c(K)dK

T 0 K2 S0 K2

(c) Application: corridor variance swap. What does the formula for the fair

strike become in case of the corridor variance swap where daily realized

variance only accrues at time t when L < St < U?

Bossu, SCPCP 2014, Advanced Equity Derivatives, Wiley, Somerset. Available from: ProQuest Ebook Central. [8 March 2017].

Created from uts on 2017-03-08 00:01:43.

72 ADVANCED EQUITY DERIVATIVES

Consider the model dvt vt = 2 Tt

T

dWt for the forward price at time t of

realized variance observed over a fixed period [0,T]. In particular, vT is the

terminal historical variance, and v0 = (vT ) is the undiscounted fair strike

of a variance swap at time 0.

(a) Show that the price of an at-the-money forward call on realized variance

with payoff max(0, vT v0 ) is given as:

[ ( ) ]

rT T

Varcall0 = e v0 2N 1

3

2 T

Varcall0 erT v0

2 3

Copyright 2014. Wiley. All rights reserved.

Bossu, SCPCP 2014, Advanced Equity Derivatives, Wiley, Somerset. Available from: ProQuest Ebook Central. [8 March 2017].

Created from uts on 2017-03-08 00:01:43.

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