Variance Unit Order Size to Vega Exposure Translation

This translation functionality is for the user that wishes to answer the question "What is the vega exposure of an order size expressed in variance units?".

This translation uses Equation 4 in reverse. The user enters an order size in variance units and a volatility level (σ^*_n) in percentage points. Equation 4 is used to compute the vega exposure associated with one variance unit (i.e., Unit Vega). The order vega exposure associated with the user input order size in variance units is computed as the order size in variance units times unit vega as shown in Equation 7:

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This document includes a high-level overview of what is currently contemplated with respect to S&P 500 Variance Futures. The information included is subject to change and to more detailed provisions to be put in place in connection with the launch of this product. Additionally, the planned launch of this product remains subject to regulatory review.