It's a pity variance swaps are not a listed product alongside options. I.e. would be great if all stocks with options also have variance swaps available as listed product. Enough interest for some parties/people to make some kind of market there...
they were. No one traded them. Varswaps are complicated because there is no real concept of “position size in shares” if you buy a varswap at 15 vol. you will sell a different amount of “shares” to flatten out at 20 vol. I forgot the formula as it’s no longer relevant to me: something like the (strike^2)/2 or something. I figured they could have rolling varswaps so that the contract would accrue value and everyone would trade the same return series but that would not be industry convention.
Mondeza, can you explain why the strategy performed not so well from 2017-2019? After 2019, it took off.