Conditional variance swap

A conditional variance swap is a type of swap derivative product that allow investors to take exposure to volatility in the price of an underlying security only while the underlying security is within a pre-specified price range. This ability could be useful for hedging complex volatility exposures, making a bet on the volatility levels contained in the [[skew] of the underlying security's price, or buying/selling variance at more attractive levels given a view on the underlying security. <ref>Allen, Peter; Einchcomb, Stephen, and Granger, Nicolas. Conditional Variance Swaps: Product Note. JPMorgan, 3 April 2006.