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 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 of Thomson Reuters Indices.

See also

Thomson Reuters Indices

External links

This article is issued from Wikipedia - version of the 8/22/2014. The text is available under the Creative Commons Attribution/Share Alike but additional terms may apply for the media files.