The Thomson Reuters Realized Volatility Index is a

stock market index In finance, a stock index, or stock market index, is an Index (economics), index that measures the performance of a stock market, or of a subset of a stock market. It helps investors compare current stock price levels with past prices to calcul ...

from

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Indices. It measures and forecasts realized volatility at a variety of time horizons – from one day to several months.

Function

This index can be used to construct volatility curves with a variety of time horizons. It can also be used to construct the skew necessary for pricing out-of-the-money options. Its forecast ability allows realized volatility to be known a few days to a month in advance. Realized volatility can be considered a more useful measure for market participants than implied volatility (IV) measures.

History

The index was first introduced during the webcast ''The Long & Short of It – New Measures of Volatility'' on September 23, 2009, by Andrew Clark, Chief Index

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at Thomson Reuters Indices.

External links

Thomson Reuters Indices

Thomson Reuters Realized Volatility Index
{{Thomson Reuters American stock market indices Thomson Reuters

Function

History

See also

External links