A swap that entails the exchange of a single period’s cash flows linked to the volatility of a specific market entity. The payoff of this swap is difference between the annualized volatility (standard deviation of returns) of a specific reference such as share price, FX rate, etc and the annualized fixed volatility, i.e., the volatility delivery price. For example, a one-year volatility receiver’s contract on a given stock price for USD 200,000 per basis point and a fixed rate of 35%, assuming the realized volatility over that single period was 30%, would produce a payoff equal to:

Payoff = 200,000  x (35%- 30%) = 10,000.

This contract is also known as a single-period volatility swap.