AppliedNumeric answer

Four daily returns are $+1\%$ , $-2\%$ , $+1.5\%$ and $-0.5\%$ . Using the zero-mean convention of variance swaps and $252$ days a year, what is the annualised realised volatility, in percent to two decimals?

Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.

The worked solution is in Premium

The answer, the full working and the one idea to take away – for this and all 1,322 questions in the bank. Answer it in practice and your working is marked, with a known mistake named when you make one.

Start the 7-day free trial Practise it with Premium

Learn the method

Variance swaps, the log contract and what the VIX is

Reported in interviews at

Optiver, Citadel

Four daily returns are +1%+1\%+1%, −2%-2\%−2%, +1.5%+1.5\%+1.5% and −0.5%-0.5\%−0.5%. Using the zero-mean convention of variance swaps and 252252252 days a year, what is the annualised realised volatility, in percent to two decimals?

More volatility questions

Four daily returns are $+1\%$ , $-2\%$ , $+1.5\%$ and $-0.5\%$ . Using the zero-mean convention of variance swaps and $252$ days a year, what is the annualised realised volatility, in percent to two decimals?