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Answer: The VIX is an exchange-traded fund (ETF) that tracks the weighted-average price of a static portfolio of S&P 500 variance future contracts
The **false** statement is **A**. Why it is false: - The **VIX is not an ETF**. - VIX is an **index** designed to measure expected 30-day implied volatility of the S&P 500. - It is not a weighted-average price of a portfolio of variance futures contracts. Why the others are true: - **B**: Variance swaps are easier to price than volatility swaps because variance swaps can be replicated more directly using a static portfolio of options. - **C**: The payoff is based on the path of prices over the life of the contract, not just the terminal price. - **D**: Since square root is concave, Jensen’s inequality implies that expected volatility is less than the square root of expected variance. So, **A** is the incorrect statement.
Author: Manit Arora
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Q-732.2. Assume that signifies some measure of realized asset price variance and signifies some measure of realized asset price volatility. Also, is a prespecified fixed variance and is a prespecified fixed variance rate; aka, forward price. If is the notional amount, then the payoffs to a variance and a volatility swap are given by:
Against that mathematical context, each of the following is true about variance or volatility swaps EXCEPT which is false?
A
The VIX is an exchange-traded fund (ETF) that tracks the weighted-average price of a static portfolio of S&P 500 variance future contracts
B
It is easier to price a variance swap than a volatility swap because the variance swap can be replicated with a static hedge (portfolio of puts and calls)
C
Unlike a regular option or futures contract that settles based on a final spot price at maturity, the variance and volatility swap settle based on a series of prices
D
Because the volatility is the square root of the variance, Jensen’s inequality implies that the volatility forward price will be less than the square root of the variance forward price of the variance
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