The Thomson Reuters Realized Volatility Index is a newly developed
stock market index
In finance, a stock index, or stock market index, is an index that measures a stock market, or a subset of the stock market, that helps investors compare current stock price levels with past prices to calculate market performance.
Two of the ...
from
Thomson Reuters
Thomson Reuters Corporation ( ) is a Canadian multinational media conglomerate. The company was founded in Toronto, Ontario, Canada, where it is headquartered at the Bay Adelaide Centre.
Thomson Reuters was created by the Thomson Corp ...
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
A strategist is a person with responsibility for the formulation and implementation of a strategy. Strategy generally involves setting goals, determining actions to achieve the goals, and mobilizing resources to execute the actions. A strategy ...
at
Thomson Reuters Indices.
See also
*
Thomson Reuters Indices
External links
Thomson Reuters IndicesThomson Reuters Realized Volatility Index
{{Thomson Reuters
American stock market indices
Thomson Reuters