Thomson Reuters Realized Volatility Index
The Thomson Reuters Realized Volatility Index is a stock market index from Thomson Reuters 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 Strategist at Thomson Reuters Indices.
See also
External links
- [http://financial.thomsonreuters.com/indices Thomson Reuters Indices]
- [http://thomsonreuters.com/products_services/financial/thomson_reuters_indices/indices/trading_signal_indices/?view=Standard Thomson Reuters Realized Volatility Index] {{Webarchive|url=https://web.archive.org/web/20100313031228/http://thomsonreuters.com/products_services/financial/thomson_reuters_indices/indices/trading_signal_indices/?view=Standard |date=2010-03-13 }}
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