问题如下：
Olivia, a fund manager, sells $50,000 vega notional of a one-year variance swap on the S&P 500 at a strike of 20% (quoted as annual volatility).
If the one-year realized volatility is 18%, the settlement amount at expiration of the swap for Olivia is:
选项：
A.pay $95,000 to the swap buyer.
B.receive $95,000 from the swap buyer.
C.receive $125,000 from the swap buyer.
解释：
B is correct.
Variance notional = Vega notional/(2*Strike)=50000/(2*20)=1250.
SettlementT = Variance notional × (Realized variance – Variance strike) = 1,250 × (18^2 – 20^2)
= –$95,000
If the payment amount is positive (negative), the swap seller (buyer) pays the swap buyer (seller). So, in this case, Olivia would receive $95,000 from the swap buyer.
我们把variance看成是产品的价格，那么当realized variance>strike variance，
相当于期货合约里资产价格高于合约约定价格，那么long方赚钱，也就是seller pays，
相反的情况可以理解成资产价格低于合约约定价格，那么long方亏钱，buyer pays
long方赚钱 为什么是seller pays呢？
