Timeline for Why is the fair strike of a variance swap called implied volatility?
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9 events
| when toggle format | what | by | license | comment | |
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| Sep 9, 2018 at 13:53 | answer | added | dm63 | timeline score: 1 | |
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| Aug 5, 2017 at 9:40 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
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| Apr 7, 2017 at 7:15 | answer | added | zer0hedge | timeline score: 2 | |
| Mar 12, 2017 at 0:01 | comment | added | Alex C | Intuitively it is "what the market thinks" the volatility will be in the period ahead. Those who think volatility will be higher would go long the swap and those who think it will be lower would go short. However this is intellectually a bit sloppy because (1) "the market" is not a person (2) there may be a premium or discount between the fair strike and the expected volatility. | |
| Mar 11, 2017 at 18:19 | history | asked | BS. | CC BY-SA 3.0 |