Spot-starting Realized Variance Quoted in Volatility
Three-month contracts
Expiry Bid Price Bid Size Ask Price Ask Size
Dec-09 $16.32 12,748 $25.81 20,165
Mar-10 $23.84 75,443 $27.64 87,451
Jun-10 $25.77 144,980 $28.78 161,913
Sep-10 $21.46 00 $23.97 00
Twelve-month contracts
Expiry Bid Price Bid Size Ask Price Ask Size
Dec-09 NaN NaN $35.08 13,977
Mar-10 $21.46 34,634 $29.12 46,989
Jun-10 $25.15 72,144 $29.16 83,651
Sep-10 $26.51 109,307 $29.23 120,520
Dec-10 $26.34 142,193 $30.42 164,216

 

 


Variance Futures Expiration Calendar
Three-month contracts
Expiry Realized Day Count Total Day Count Realized Variance
Dec-09 44 64 18.50
Mar-10 0 61 0.00
Jun-10 0 63 0.00
Sep-10 0 63 0.00
Twelve-month contracts
Expiry Realized Day Count Total Day Count Realized Variance
Dec-09 231 251 28.46
Mar-10 170 251 22.84
Jun-10 107 251 18.89
Sep-10 44 251 18.50
Dec-10 0 251 28.46