ABN AMRO Clearing to service variance futures

ABN AMRO Clearing to service variance futures

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ABN AMRO Clearing will begin to offer clearing services for the Euro Stoxx 50 Variance futures on Eurex from May 27. 

Variance futures give prime clients exposure to volatility products to hedge their portfolio.

“Our principal trading group clients will be able to use the Variance future as a hedge for options on the Euro Stoxx 50 Index and also provide additional market making and arbitrage opportunities," said Barry Polak, head of products at ABN AMRO Clearing.

"This will complement the suite of exchange traded and OTC cleared products on which clients can benefit from risk offset and margin netting.”

The future replicates the payoff profile of over-the-counter variance swaps on the Euro Stoxx 50 Index volatility, and is the on-exchange complement to OTC variance swaps.

The new contract offers exposure to the difference between implied versus realized volatility. It allows users to expand their equity portfolio hedging strategies. 

This hedging can now take place in a centralised order book, which gives greater price transparency.

The new futures contracts seamlessly fit the ambition stated in the G20 Pittsburgh 2009 declaration. The aim of rule makers globally is to bring more standardised OTC contracts onto trading platforms, to the benefit of more transparent and better accessible open order book trading. 

“We are very excited to have ABN AMRO Clearing on board as a clearing member for this new variance futures contract”, says Mehtap Dinc, member of the executive board at Eurex.

“Opening up this offering to the traditional ABN AMRO Clearing client base of Principal Trading Groups is of major importance for the success of a new market initiative like this.”




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