Thomson Reuters Realized Volatility Index
The Thomson Reuters Realized Volatility Index is a newly developed 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
- Thomson Reuters Indices
External links
- Thomson Reuters Indices
- Thomson Reuters Realized Volatility Index Archived 2010-03-13 at the Wayback Machine
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