Taking into account the latest international financial industry standards, as well as, feedback from market participants, on April 16, 2014, the Moscow Exchange has officially launched the RVI – the new Russian volatility index.  Reuters code: .RVI, Bloomberg code: RVI$ Index.

The new RVI measures market's expectation of the 30-day volatility, calculated from real prices of near- and next-series RTS Index options. In the previous RTSVX volatility index, a parameterized volatility smile was used to calculate continuous, theoretical Black-Scholes prices of the near- and next-series RTS Index options.

The RVI is calculated in real-time during, both, day and evening sessions (first values 19:00 – 23:50 MSK and then 10:00 – 18:45 MSK).

Main differences from the RTSVX volatility index:

• discrete calculation
• uses actual options prices over 15 strikes
• calculates 30-day volatility

The RVI formula:

where:
Т₃₀ — 30 days, expressed as a fraction of a year (year = 365 days);
Т₃₆₅ — 365 days, expressed as a fraction of a year;
Т₁ — time to expiration¹, expressed as a fraction of a calendar year (year = 365 days) of the near-series options;
T₂ — time to expiration¹, expressed as a fraction of a calendar year (year = 365 days) of the far-series options;
σ₁² — variance of the near-series options;
σ₂² — variance of the next-series options.

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¹Expiration refers to the last exercise date of a given options series.

• Index graph and current values
• Description
• Methodology of calculation
• Index history