VA Futures Variance Unit Conventions

The current VA Futures contract does not trade in volatility and vega units, and instead trades directly in variance units. As a result, trades are immediately cleared without the need for deferred clearing and restatement of the trade price in variance units and associated product and order entry protocol features.

While the current VA Futures product does not trade in volatility and vega units, some users of the product may have familiarity with OTC-like products and will find useful the ability to translate between variance units and equivalent volatility and vega units under certain assumptions. This is the functionality provided by the Cboe Variance Calculator.