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Payoff for Variance of Return
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Payoff
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0.15
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0.05
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1
1.1
Futures Price
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4
3.5
3
Payoff
2.5
2
1.5
1
0.5
0
0
0.2
0.4
0.6
0.8
1
1.2
Futures Price
1.4
1.6
1.8
2
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Capped and Floored Futures Price
2
1.8
1.6
1.4
Payoff
1.2
1
0.8
0.6
0.4
0.2
0
0
0.2
0.4
0.6
0.8
1
1.2
Futures Price
1.4
1.6
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2
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Payoff to Delta Hedge to Create Corridor Variance
0.7
0.6
0.5
Payoff
0.4
0.3
0.2
0.1
0
0
0.2
0.4
0.6
0.8
1
1.2
Futures Price
1.4
1.6
1.8
2
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