Question

15 Given the following variance swap, what is the maximum possible loss for the seller of...

15

Given the following variance swap, what is the maximum possible loss for the seller of the swap?

Variance Swap

Trade Date

May 1, 2020

Maturity Date

May 1, 2021

Underlying

S&P 500 Index

Denominated Currency

USD

Vega Notional

$250,000

Strike Price

22

Cap Level

2.5 x Strike

Review Later

$17.19MM

$12.75MM

$14.44MM

$28.88MM

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