TRADING VOL WITHOUT OPTIONS
Guide to volatility swaps / variance swaps / gamma swaps, options on variance and futures on VIX / vStoxx





Colin Bennett


While volatility trading has historically been performed by delta hedging
options, a variety of alternative products have been created to make volatility
trading easier. We examine the differences and similarities between volatility
swaps, gamma swaps and variance swaps. The pricing of related products,
such as corridor variance swaps, options on variance and futures on volatility
indices (VIX and vStoxx), are also analysed.