| Russian Market Volatility Index (beta version) |
| Name |
Russian Market Volatility Index |
| Code |
RVI |
| Bloomberg code |
– |
| Reuters code |
– |
| Calculation frequency |
Every 15 seconds |
| Calculation times (Moscow time) |
19:00-23:50 and 10:00-18:45 |
| Accuracy |
Four decimal places |
| Opening value |
Day's first value |
| Closing value |
Day's last value |
| Inception date |
18 November 2013 |
| Index underlyings |
Options on RTS Index futures |
| Options series employed |
Nearest and furthest options series |
| Formula |
where:
Т30 – 30 days, in minutes (30 * 1,440 = 43,200);
Т365 – 365 days, in minutes (365 * 1,440 = 525,600);
Т1 – Time to expiration1 expressed as a fraction of a calendar year (year = 365 days) of the nearest options series;
T2 – Time to expiration1 expressed as a fraction of a calendar year of the furthest options series;
σ1 – Sigma of the nearest options series;
σ2 – Sigma of the next options series after the nearest options series.
|
| Formula for squared sigma for both options series |
where:
ΔKi – Interval between strike prices (5,000 points for the RTS Index);
Т1 – Time to expiration expressed as a fraction of a calendar year of the nearest series options. Updates every 15 seconds;
T2 – Time to expiration expressed in a fraction of a calendar year of the furthest options series. Updates every 15 seconds;
Ki – i-th strike. Ki < Ki+1 (fractional strike prices are not considered);
F1, F2 – Futures contract quotes. Options may be on futures with different or the same expiration dates;
Pr(Ki) – Value determined by options prices.
|
| Calculation method |
Methodology of RVI |
| Contacts |
index@moex.com |
1 Expiration refers to the last exercise date of a given options series.
