SAVI Squared

SAVI Squared products are Derivatives Instruments that offer investors exposure to market volatility through daily realised future variance. Although they are also known as Variance Futures, SAVI Squared contracts are not really Futures. They are a Forward contract on realised annualised variance. The holder agrees to buy or sell variance at a pre-determined strike price at a specified future time. On expiry, the holder receives the difference for every point that the stock’s realised variance has exceeded the variance strike price.

Who should use this?

SAVI Squared contracts can be used by a number of market players, including investors who would like to take a direct view on volatility, companies who want to hedge against volatility options, traders who would like to lay off volatility risk and traders who would like to hedge against a decrease in liquidity, which is often accompanied by increased volatility.

Features

  • Gives investors direct exposure to volatility as opposed to indirect exposure through Delta Hedging Options.
  • Trading variance is efficient because it eliminates the need to constantly rehedge as the market moves about.
  • Futures can involve high risk. You can lessen the risk by ensuring that you have a high degree of product knowledge. You should also always invest within your means and deal with experienced brokers.

 

 

 

 

 

 

6 Months Variance Future Contract specs6 Months Variance Future Contract specshttps://www.jse.co.za/content/JSEContractSpecificationItems/6_Months_Variance_Future_Contract specs.pdfpdf
3 Months Variance Future contract specs3 Months Variance Future contract specshttps://www.jse.co.za/content/JSEContractSpecificationItems/3_Months_Variance_Future_contract specs.pdfpdf
Number of contracts - StandardNumber of contracts - Standardhttps://www.jse.co.za/content/JSEContractSpecificationItems/Number_of_contracts_-_Standard.xlsxls
SAVI Squared Contract CalcSAVI Squared Contract Calchttps://www.jse.co.za/content/JSEContractSpecificationItems/SAVI Squared Contract Calc.xlsxls
What is Variance FutureWhat is Variance Futurehttps://www.jse.co.za/content/JSEEducationItems/What_is_Variance_Future.pdfpdf
Variance Future MarginingVariance Future Margininghttps://www.jse.co.za/content/JSEInitialmarginrequirementsItems/Variance_Future_Margining.xlsxls
45 - JSE SAVI Squared - April 201445 - JSE SAVI Squared - April 2014https://www.jse.co.za/content/JSEBrochureItems/45 - JSE SAVI Squared - April 2014.pdfpdf
SAVI Squared BrochureSAVI Squared Brochurehttps://www.jse.co.za/content/JSEBrochureItems/SAVI Squared Brochure.pdfpdf

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