RealVol Daily Indices

  • The Flagship index at VolX is the 1-month (21-day) realized volatility index (also known as 1RVOL)
  • Forecast volatilities provided courtesy of The Volatility Institute
  • Detailed explanations can be found at the bottom of the page
  • RealVol daily indices are now available on the go using your handheld device.  Just type m.volx.us

NOTICE: As of May 27, 2013, VolX is no longer keeping its online data current. Please be advised that all data on the site is no longer being updated and, therefore, should not be relied upon to be accurate or timely. We hope to provide updates in the future.

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 
24 May 2013
12.68 
11.09 
9.58 
11.88 
13.08 
15.54 
4.43 
23.59 
74.72 
24 May 2013
15.03 
12.54 
9.70 
14.75 
17.57 
23.04 
7.63 
20.18 
83.12 
24 May 2013
16.28 
16.00 
15.65 
14.76 
15.78 
17.82 
6.76 
23.56 
82.79 
27 May 2013
19.41 
17.94 
12.32 
16.59 
17.95 
20.09 
5.92 
21.33 
134.53 
27 May 2013
21.66 
29.17 
36.17 
45.42 
45.05 
43.47 
24.27 
62.52 
150.05 
27 May 2013
15.44 
15.79 
14.29 
21.75 
24.02 
26.91 
10.52 
27.44 
116.88 
27 May 2013
15.22 
12.39 
13.14 
16.19 
18.25 
23.09 
12.26 
26.92 
68.41 
27 May 2013
13.43 
15.98 
17.05 
21.31 
22.70 
25.51 
11.31 
27.85 
75.38 
27 May 2013
11.44 
12.11 
11.16 
7.51 
13.44 
96.57 
27 May 2013
20.80 
18.20 
13.87 
5.26 
11.65 
90.87 

Commodities
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 
24 May 2013
28.56 
31.65 
34.21 
29.55 
29.04 
27.34 
8.32 
37.45 
127.53 
24 May 2013
24.88 
19.94 
20.38 
20.33 
20.80 
22.65 
5.66 
24.54 
57.56 
24 May 2013
18.66 
26.87 
18.95 
25.80 
25.69 
25.23 
10.85 
8.62 
239.44 
24 May 2013
10.39 
10.20 
10.32 
11.58 
12.11 
13.45 
8.50 
37.23 
88.51 
24 May 2013
42.34 
31.99 
37.92 
35.91 
36.30 
37.89 
5.40 
39.70 
86.59 
24 May 2013
29.11 
33.91 
21.53 
29.28 
29.64 
30.74 
10.27 
8.33 
220.75 

Currencies
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 
24 May 2013
8.58 
8.42 
10.47 
10.73 
10.94 
11.48 
6.08 
31.54 
92.34 
24 May 2013
6.73 
7.59 
7.61 
8.65 
8.93 
9.60 
5.01 
22.10 
69.78 
24 May 2013
6.13 
6.11 
7.84 
8.15 
8.12 
8.01 
8.49 
37.61 
121.45 
24 May 2013
8.25 
8.26 
8.20 
8.54 
8.66 
9.10 
4.76 
21.95 
80.15 
24 May 2013
9.66 
13.41 
12.40 
12.33 
11.97 
11.47 
7.80 
17.13 
129.81 
24 May 2013
8.30 
9.55 
11.53 
11.54 
11.65 
11.90 
7.54 
31.09 
77.79 

Interest Rates
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 
27 May 2013
2.74 
4.69 
4.75 
4.94 
4.90 
4.75 
18.03 
27.00 
169.70 
24 May 2013
3.78 
3.37 
4.23 
4.50 
4.81 
5.64 
7.01 
44.82 
109.42 

Source of Underlying Data: Bloomberg L.P.

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 is not yet available.

Symbol Key

 Symbol  RealVol Indices Underlying Reference Prices
 Equities 
    SPVOLRealVol US 500 IndicesS&P 500 Index®
    NDVOLRealVol NASDAQ-100 IndicesNasdaq 100 Index®
    RUVOLRealVol US Small Cap 2000 IndicesRussell 2000 Index®
    SXVOLRealVol Euro 50 IndicesEuro STOXX 50 Index®
    NKVOLRealVol Japan 225 IndicesNikkei 225 Index®
    HSVOLRealVol Hong Kong 48 IndicesHang Seng Index®
    KPVOLRealVol S Korea 200 IndicesKOSPI 200 Index®
    NFVOLRealVol India 50 IndicesS&P CNX Nifty Index®
    TXVOLRealVol Canada 60 IndicesS&P TSX 60 Index®
    BVVOLRealVol Brazil IndicesBovespa Index®
 Commodities 
    COVOLRealVol Corn IndicesCorn Futures – CBT
    CRVOLRealVol Crude Oil IndicesCrude Oil Light Futures – NYMEX
    GOVOLRealVol Gold IndicesGold Futures – COMEX
    LCVOLRealVol Live Cattle IndicesLive Cattle Futures – CME
    NGVOLRealVol Natural Gas IndicesNatural Gas Futures – Henry Hub – NYMEX
    SIVOLRealVol Silver IndicesSilver Futures – COMEX
 Currencies 
    ADVOLRealVol AUD/USD IndicesAustralian Dollar FX Futures – CME
    BPVOLRealVol GBP/USD IndicesBritish Pound FX Futures – CME
    CDVOLRealVol CAD/USD IndicesCanadian Dollar FX Futures – CME
    ECVOLRealVol EUR/USD IndicesEuro FX Futures – CME
    JYVOLRealVol JPY/USD IndicesJapanese Yen Futures – CME
    SFVOLRealVol CHF/USD IndicesSwiss Franc FX Futures – CME
 Interest Rates 
    JGVOLRealVol Jap. Gov't. Bond IndicesJapanese Gov't. 10-Year Bond Futures – TSE
    TYVOLRealVol US 10-Year T-Note IndicesT-Note-U.S. 10-Year Futures – CBT

Explanations

All RealVol 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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