RealVol Daily Indices

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

Notice: DISP, GVOL, RVOL, and HVOL Indices are currently suspended.

Historical volatility
Historical
Historical volatility
Forecast Volatility
Forecast
Forecast Volatility
 
Symbol
Charts/
As of Date
VOLS
12-Month
3-Month
1-Month
Quotes
1-Month
3-Month
12-Month
02 Jul 2015
VOL
11.98 
10.12 
11.59 
GVOL
VOV
5.99 
38.78 
115.92 
RVOL
DVOL
11.24 
9.78 
10.95 
HVOL
VCOR
-3.91 
-6.34 
-21.68 
 
VAR
143.52 
102.41 
134.33 
     
DISP
 
 
 
VOLS
Historical volatility
Historical
Historical volatility
Symbol
12-Month
3-Month
1-Month
VOL
11.98 
10.12 
11.59 
VOV
5.99 
38.78 
115.92 
DVOL
11.24 
9.78 
10.95 
VCOR
-3.91 
-6.34 
-21.68 
VAR
143.52 
102.41 
134.33 
DISP
 
Forecast Volatility
Forecast
Forecast Volatility
Symbol
1-Month
3-Month
12-Month
GVOL
*
*
*
RVOL
*
*
*
HVOL
*
*
*
As of: 02 Jul 2015

Source of Underlying Data: NYSE Arca

Color Key

1VOL™

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

3VOL™

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

12VOL™

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

1VOV™

1-month (21-day) RealVol index of realized volatility of 1VOL (1VOL of 1VOL) (using RealVol Daily Formula)

3VOV™

1-month (21-day) RealVol index of realized volatility of 3VOL (1VOL of 3VOL) (using RealVol Daily Formula)

12VOV™

1-month (21-day) RealVol index of realized volatility of 12VOL (1VOL of 12VOL) (using RealVol Daily Formula)

1DVOL™

1-month (21-day) RealVol Index of overnight/intraday realized volatility (using RealVol Overnight/Intraday Formula)

3DVOL™

3-month (63-day) RealVol Index of overnight/intraday realized volatility (using RealVol Overnight/Intraday Formula)

12DVOL™

12-month (252-day) RealVol Index of overnight/intraday realized volatility (using RealVol Overnight/Intraday Formula)

1VCOR™

1-month (21-day) RealVol Index of historical correlation based on the underlying and 1VOL (using RealVol Correlation Formula)

3VCOR™

3-month (63-day) RealVol Index of historical correlation based on the underlying and 3VOL (using RealVol Correlation Formula)

12VCOR™

12-month (252-day) RealVol Index of historical correlation based on the underlying and 12VOL (using RealVol Correlation Formula)

1VAR™

1-month (21-day) RealVol Index of realized variance (using RealVol Variance Formula)

3VAR™

3-month (63-day) RealVol Index of realized variance (using RealVol Variance Formula)

12VAR™

12-month (252-day) RealVol Index of realized variance (using RealVol Variance Formula)

1DISP™

1-month (21-day) RealVol Index of dispersion (using RealVol Dispersion Formula)

3DISP™

3-month (63-day) RealVol Index of dispersion (using RealVol Dispersion Formula)

12DISP™

12-month (252-day) RealVol Index of dispersion (using RealVol Dispersion Formula)

1GVOL™

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

3GVOL™

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

12GVOL™

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

1RVOL™

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

3RVOL™

3-month (63-day) RealVol Index of forecast realized volatility (using RFSV model)

12RVOL™

12-month (252-day) RealVol Index of forecast realized volatility (using RFSV model)

1HVOL™

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

3HVOL™

3-month (63-day) RealVol Index of forecast realized volatility (using HAR model)

12HVOL™

12-month (252-day) RealVol Index of forecast realized volatility (using HAR model)

*

An asterisk indicates that the data are not yet available.

Symbol Key

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

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