# Does delta adjusted exposure make sense for an equity variance swap?

The software vendor that I am using for the calculation of the market risk exposure claim that they cannot compute the delta adjusted of the equity variance swap positions since there is no specific underlying.

I guess that there is an underlying (the volatility of the equity index) but, in general, what would you recommend to use as as exposure measure for this kind of product type?

• what is your market risk exposure? Is it VaR? Note that the delta of a variance swap is nearly zero. – Gordon Sep 26 '17 at 20:32
• That's an odd response from your vendor, or course a varswap has delta, it's just (as Gordon says) small. – will Sep 27 '17 at 6:55
• thanks for your responses. For equity-based products we normally go for dollar delta, any suggestions for something similar (in the sense that would make sense to add with the dollar delta exposures) for the variance swaps? – sen_saven Sep 27 '17 at 8:25