Risk Latte - History of Volatility Swap

History of Volatility Swap

Rahul Bhattacharya
Apr 13, 2006

The first volatility swap trade was done in 1993 and it was on FTSE. The trade was struck at 16% and had a cap at 22%. Merrill Lynch entered into the business of volatility swap in the summer of 1997 when it did the first trade on Russell 2000 index in September 1997. Merrill Lynch launched options on volatility and variance swaps in August 2003 (Risk, 2003).

Source: Zhenyu Duanmu, February 7, 2005 Global Equity Linked Products, Merrill Lynch

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