RealVol Daily Indices

  • The Flagship index at VolX is the 1-month (21-day) realized volatility index (also known as 1RVOL)
  • Detailed explanations can be found at the bottom of the page

Notice: FVOL Indices are currently suspended.

Equities
Historical volatility
Historical
Historical volatility
Forecast Volatility
Forecast
Forecast Volatility
   
As of Date
Symbol
12RVOL
3RVOL
1RVOL
Charts
1FVOL
3FVOL
12FVOL
VolX
  Asset  
12RVOV
3RVOV
1RVOV
     
Stats
 Quotes 
03 Mar 2015
11.45 
14.13 
10.03 
5.86 
8.22 
68.41 

Source of Underlying Data: NYSE Arca

Color Key

1RVOL™

1-month (21-day) RealVol Index of historical realized volatility (using RealVol Daily Formula)

3RVOL™

3-month (63-day) RealVol Index of historical realized volatility (using RealVol Daily Formula)

12RVOL™

12-month (252-day) RealVol Index of historical realized volatility (using RealVol Daily Formula)

1RVOV™

1-month (21-day) RealVol Index of historical realized volatility of 1RVOL (1RVOL of 1RVOL) (using RealVol Daily Formula)

3RVOV™

1-month (21-day) RealVol Index of historical realized volatility of 3RVOL (1RVOL of 3RVOL) (using RealVol Daily Formula)

12RVOV™

1-month (21-day) RealVol Index of historical realized volatility of 12RVOL (1RVOL of 12RVOL) (using RealVol Daily Formula)

1FVOL™

1-month (21-day) RealVol Index of forecast realized volatility (using modified GARCH model)

3FVOL™

1-month (63-day) RealVol Index of forecast realized volatility (using modified GARCH model)

12FVOL™

1-month (252-day) RealVol Index of forecast realized volatility (using modified GARCH model)

*

An asterisk indicates that today's data are not yet available.

Symbol Key

 Symbol  Index Underlying Reference Prices
 Equities 
    VOLSRealVol SPY IndicesSPDR S&P 500 ETF

Explanations

All RealVol SPY Indices are based on the historical or forecast daily realized volatility of an underlying asset or instrument. There are three time frames:  1 month (21 trading days), 3 months (63 trading days), and 12 months (252 trading days)

RVOL -- Realized volatility using the RealVol Daily Formula:  1RVOL, 3RVOL, and 12RVOL

RVOV -- Realized vol of vol using the RealVol Daily Formula:  1RVOV, 3RVOV, and 12RVOV

FVOL -- Forecast Vol using a modified GARCH model provided courtesy of The Volatility Institute:  1FVOL, 3FVOL, and 12FVOL

For each quote, Yahoo! Finance provides a page with a summary of recent futures prices as well as links to various charting capabilities, including fundamental technical analysis.


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