Equity derivative products

Since I am waiting for someone, here you go. Firstly, are you sure these are all for equity derivatives space? Some are pretty uncommon and more frequent in rates or FX. I rearranged them by commonality and degree of difficulty, will do half now and half later when I am drunk enough:

• CVS (I think you mean CvC) Call vs Call, a basket of calls against a call on a basket. The simplest possible way to trade correlation (well, covariance).

• Quanto option An option that tracks an asset but pays out in a different currency difference from the domestic currency of that asset. E.g. an Dec put on SPX struck at 2500 where both the premium and the payout will be in Eur. Obviously, correlation between the asset and the currency will matter a lot :)

• Corridor Varswap It's a variance swap that only accrues variance on the days when the index is in a specified range. A regular variance swap pays off (realized_var - strike^2)vega_units where var units are vega_notional/(2strike) and realized_var = sum(ret^2)/n. So your payoff in a corridor swap would be similar (realized_var_in_range - strike^2)mod_vega_units where var units are (n_in_range/n) * vega_notional/(2strike) and realized_var = sum(ret^2 in range)/n_in_range. Usually these are done to take advantage of the steep skew - e.g. you'd sell a "100% down-var" where you only accrue variance if spot is under current 100% and that obviously would be pretty expensive.

• FVAs - forward volatility agreement. It's an agreement to buy or sell a forward starting straddle, e.g. you agree to buy a straddle on SPX that will strike in 1 month and expire in 2 month. You rarely see them trade, to be honest these are more common in the FX world.

• Swaptions - I assume we are talking about variance swaptions, considering the below. It is right to buy (receive) or a right to sell (pay) in a variance swap, e.g. I buy a Dec/Mar receiver swaption struck at 12 means that I will have a right (but not an obligation) to enter into a variance with these parameters. FYI, there are also equity swaptions, which are options to enter into an equity swap and rate swaptions which are options to enter interest rate swaps. The idea is the same, but the risk is very difference .

• synthetic covariance swap Well, thats a swap that pays you covariance between several assets vs a fixed correlation*average_vol. You can think of it as a basket of variance swaps against variance swap on the basket (it kinda decomposes to that). Unlike the correlation swap below, can be priced and decomposed better. Very expensive, very hard to find dealers to quote, nearly impossible to get out. Usually dealers push these onto clients when they want to lay off some correlation risk.