Options on variance swaps have recently started appearing in Asia as hedge funds use them to take volatility positions in the region. "It's part of the evolution of variance swaps," said Julien Bahurel, director in equity derivative sales at Calyon in Hong Kong. He said the development comes on the back of a huge uptake in variance swaps in Asia this year, as players such as hedge funds have been betting that vol levels have bottomed out. Market officials noted in particular strong interest for options on variance swaps for the Nikkei 225 and Topix indices.
Variance Swap Options Emerge
