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Part I
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Financial Markets and Products
Financial Markets and Products
Hard
Oakridge Capital enters a 6-month variance swap on the Russell 2000 with a strike volatility of 22% and a vega notional of $50,000 per volatility point. At expiry, realized volatility is 28%. The payoff to the long variance position is closest to:
A
$681,818
B
$300,000
C
$550,000
D
$440,000
Select an answer to continue
Tags
#variance-swap
#vega-notional
#realized-volatility
#payoff-calculation
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