Spot-starting Realized Variance Quoted in Volatility
Three-month contracts
Expiry Bid Price Bid Size Ask Price Ask Size
Dec-08 $74.49 61,108 $79.44 65,168
Mar-09 $64.66 207,130 $67.58 216,475
Jun-09 $58.05 328,779 $60.79 344,325
Sep-09 $54.47 442,569 $57.18 464,611
Twelve-month contracts
Expiry Bid Price Bid Size Ask Price Ask Size
Dec-08 $65.98 27,599 $85.68 35,842
Mar-09 $62.73 102,062 $68.58 111,582
Jun-09 $57.39 165,772 $61.05 176,326
Sep-09 $54.30 224,997 $57.01 236,226
Dec-09 $50.91 275,847 $55.26 299,395

 

 


Variance Futures Expiration Calendar
Three-month contracts
Expiry Realized Day Count Total Day Count Realized Variance
Dec-08 43 64 74.68
Mar-09 0 61 0.00
Jun-09 0 63 0.00
Sep-09 0 63 0.00
Twelve-month contracts
Expiry Realized Day Count Total Day Count Realized Variance
Dec-08 230 251 38.48
Mar-09 170 252 42.50
Jun-09 106 251 51.95
Sep-09 43 251 74.68
Dec-09 0 251 38.48