Cboe Global Markets

Variance Calculator

Variance Futures trade with price expressed in Volatility Points and size in multiples of 1,000 Vega. Prior to clearing, trade price and size are converted into Variance units. This calculator is provided as a tool to help TPHs replicate and validate translated sizes to and from Variance units and to provide transparent access to calculation parameters.

Users can select from Variance inputs associated with the previously completed trading date for validating cleared trade sizes, or inputs associated with current session to pre-compute cleared sizes prior to end-of-day transformation and clearing.

Contract Selection

Select the expiration associated with the target Contract.

Compute Cleared Futures Quantity

Use this section to compute the cleared size in Variance units (i.e. Futures Quantity) using as-executed trade size in absolute Vega and trade price in Volatility Points as inputs.

Exiting a Futures Position

Use this section to generate instructions for VA contracts and Stub Futures (VAO) to be executed to completely exit a position using Futures Quantity in Variance units and trade price (i.e., anticipated fill price) in Volatility Points as inputs.

Limit Orders Required to Exit: