Spot-starting Realized Variance Quoted in Volatility
Three-month contracts
Expiry Bid Price Bid Size Ask Price Ask Size
Mar-09 $42.11 40,593 $44.95 3,611
Jun-09 $40.60 180,438 $42.33 7,525
Sep-09 $39.94 277,386 $41.73 289,774
Dec-09 $39.45 368,342 $41.27 385,327
Twelve-month contracts
Expiry Bid Price Bid Size Ask Price Ask Size
Mar-09 $39.21 38,122 $48.05 46,717
Jun-09 $39.86 88,933 $43.88 97,890
Sep-09 $39.80 138,735 $42.41 147,858
Dec-09 $40.01 190,483 $41.93 199,636
Dec-10 $38.75 378,197 $40.68 397,083

 

 


Variance Futures Expiration Calendar
Three-month contracts
Expiry Realized Day Count Total Day Count Realized Variance Bid  Price Ask Price
Mar-09 12 61 26.58 $1,563.50 $1,762.00
Jun-09 0 63 0.00 $1,554.00 $1,619.00
Sep-09 0 63 0.00 $1,503.00 $1,653.00
Dec-09 0 64 0.00 $1,453.00 $1,603.00
Twelve-month contracts
Expiry Realized Day Count Total Day Count Realized Variance Bid  Price Ask Price
Mar-09 203 252 44.33 $1,882.00 $2,032.00
Jun-09 139 251 52.14 $2,214.50 $2,364.50
Sep-09 76 251 66.07 $2,426.00 $2,576.00
Dec-09 12 251 26.58 $1,558.00 $1,708.00
Dec-10 0 251 26.58 $1,406.50 $1,556.50