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I am doing a master thesis on Variance Swap and my dear friend told me I could find some valuable help on the "Quantitative Finance Stack Exchange".

I would like to apologise beforehand, if my questions is out of order with the chart of this "forum"

At first, I wanted to implement a dispersion trading strategy using Variance Swap.The problem is I can't have access to options data. Therefore, I was thinking of plotting an E-GARCH Model and buy or not a variance swap depending on my forecast.

I heard that Variance Swap rates are available for major equity index on Bloomberg.

Do you think this is pertinent ? Or is there strategies with variance swap that are easier to implement.

Thank you for your time,

Audrey

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  • $\begingroup$ I'd first ask why you can't get the option data? If it's academic you can often get the data you want just by asking, or maybe your university will be happy to pay for the data... $\endgroup$ – will Apr 14 '17 at 12:29
  • $\begingroup$ Hi, @will Thank you for your swift reply. My university has a subscription to Option Metric Ivy database, nevertheless, it is strictly reserved for Ph.D. students, at least that was what they replied me. $\endgroup$ – Audrey.B Apr 14 '17 at 12:34
  • $\begingroup$ Variance swap data is not available to all Bloomberg users. They are 'restricted securities' that require special permission and I assume an extra fee for Bbg users to be able to access. In general it is very difficult for students and even professors or the general public to get variance swap data, the investment banls restrict this data to their customers. Sorry for the bad news. $\endgroup$ – Alex C Apr 14 '17 at 16:34
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    $\begingroup$ However, you can build synthetitic swap payoffs using volatility forecasts (use Oxford man database for inputs) and the vix term structure from cboes website. Ask your supervisor if he can download the optionsdata for major Indices. its really no big deal. We do this for our stundents as well. $\endgroup$ – Phun Apr 15 '17 at 8:57
  • $\begingroup$ @phun this is okay, but it will be poopoohed as a thesis by anyone in the industry as vix is just the replicating strategy - ie the easy bit. The hard bit, that people actually want to know about, is the spread between the replicating portfolio and the market par rate. That is a thesis Id live to read. $\endgroup$ – will Apr 15 '17 at 19:51

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