Overview

The Company

VolX has developed a number of RealVol Instruments and RealVol Indices based on realized volatility as defined by the RealVol Formulas.

Overview

This page will focus on RealVol Indices. Each RealVol Index has its own unique formula, but all are based on the realized volatility of some underlying.

Uses

RealVol Indices are designed to provide the user with key measurements of the risk of an underlying. In addition, tradable instruments could be listed such that a market participant might profit from or hedge against realized volatility movements.

Realized Volatility Defined

Realized volatility is a measure of the magnitude of daily price movements, regardless of direction, of some underlying, over a specific period.

Daily vs. Real-Time Indices

There are many RealVol Indices; all use daily measurements except for one, which is real-time.

 

 

 

 

RealVol Daily Indices

For each underlying, there are six time frames and seven types of daily indices (40 in total).

Six Time Frames

  1. 1-day
  2. 1-week (5-trading-days)
  3. 1-month (21-trading-days)
  4. 1-quarter (63-trading-days)
  5. 1-half year (126-trading-days)
  6. 1-year (252-trading-days)

Seven Types

  1. Realized volatility (vol)
  2. Realized vol of vol
  3. Overnight/intraday vol
  4. Correlation (underlying vs. vol)
  5. Realized variance
  6. Rough forecast vol
  7. HARK forecast vol

Realized vs. Implied

Realized volatility is functionally very different from implied volatility. Realized volatility is based on the actual movement of an underlying, while implied volatility is based on a derived value of associated options prices. While the two concepts are related, their results are based on distinct market factors.

Flagship Index

Our flagship index is the 1-month (21-trading day) RealVol Index. This index is used to settle all RealVol Instruments. There are two versions: a real-time version and a daily version (both are VOL™).

    

    

    

     


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