RealVol Futures Data

Daily data of RealVol futures are available for download.

Formats

Available in two formats:  Excel® spreadsheets (.xls) and comma separated values (.csv).

Theoretical and Actual Values

Theoretical (model derived close) values may be available, but only prior to launch day.  After the launch of RealVol futures on a specific underlying, only actual daily statistics will be available.

Members Only

You must register to receive the files.

To access the data, first register with VolX. Registration takes less than a minute using the Registration Form. Once your e-mail has been verified, you will receive the username and password.

Data Request Form

Select the desired data and click Download Data. Your data will be downloaded in the requested format.

  Asset:    Data:



         Data Format:

Key

PVOL

Partial realized volatility from start of the RealVol calculation period (CP), using the RealVol daily formula.  (Note:  This is the to-date realized volatility within the CP.)

IVOL

Inferred Volatility to expiration (using PVOL, last price of RealVol futures, and root-mean-square formula), (Note:  Inferred Volatility is similar in idea to implied volatility.  Implied volatility is derived from options prices, while Inferred Volatility is derived from RealVol futures prices.)

GVOL

Modified GARCH-based forecast of the expiration value of RealVol futures. This forecast is provided courtesy of The Volatility Institute.

TVOL

Theoretical Volatility (actually, the theoretical RealVol futures price), is available only prior to launch day.  After launch, only actual daily RealVol futures statistics, such as open, high, low, and settlement, are available.  TVOL uses the Heston Model, PVOL, and a root-mean-square formula to calculate the theoretical value of a RealVol futures.

CP Start

Trading days until the CP begins (negative if within the CP)

CP End

Trading days remaining until the end of the CP

CP

Number of trading days in the CP

Excel® is a registered trademark of Microsoft Corp. The file format is an Excel spreadsheet (.xls).  This file can be opened only by a program specifically designed for Excel spreadsheet files.

Comma Separated Values, is a file format whereby each value is in a text file and separate by a comma (CSV).  This format can be read by almost all computer programs.


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