CBOE Russell 2000 Volatility Index (RVX) www.cboe.com/RVX

 
CBOE Russell 2000 Volatility Index (RVX)  

Introduction

The CBOE Russell 2000 Volatility IndexSM (RVXSM) is a key measure of market expectations of near-term volatility conveyed by Russell 2000® stock index option prices. It measures the market's expectation of 30-day volatility implicit in the prices of near-term Russell 2000 options. RVX is quoted in percentage points, just like the standard deviation of a rate of return, e.g. 19.36. CBOE disseminates the RVX index value continuously during trading hours. The RVX Index is a leading barometer of investor sentiment and market volatility relating to the Russell 2000 Index.


RVX Video

RVX Price Charts


RVX and RUT

The correlations of weekly returns vs. the RVX Index since April 2006 were negative 0.72 for the Russell 2000 Index and negative 0.23 for crude oil spot prices (in the period from April 14, 2006 through Nov. 8, 2013). These negative correlations show that the RVX Index could have potential to be explored as a diversification tool, although one cautionary note for investors in the fact that futures and options on a volatility index can have movements that are different than the movements of the spot volatility index.



RVX Correlations

In the week ending October 10, 2008, the Russell 2000 Index (total return with dividends reinvested) fell 15.6%, and the RVX Index rose 41.6%.


Big One-week changes

Updated Price Charts



* The RUT Index (RUT) is a price index that does not include reinvested dividends.

CBOE Russell 2000 Volatility Index (RVX)

The CBOE Russell 2000 Volatility IndexSM (RVXSM) is a key measure of market expectations of near-term volatility conveyed by Russell 2000® stock index option prices. It measures the market's expectation of 30-day volatility implicit in the prices of near-term Russell 2000 options. Please visit the RVX microsite at www.cboe.com/RVX for more information about the RVX Index, and futures and options on the RVX Index.

Benchmark Index -- CBOE Russell 2000 BuyWrite Index (BXR)

The CBOE Russell 2000 BuyWrite Index (BXR) is a benchmark index that measures the performance of a theoretical portfolio that sells Russell 2000 Index (RUT) call options, against a portfolio of the stocks included in the Russell 2000 Index. A "buy-write," also called a covered call, generally is considered to be an investment strategy in which an investor buys a stock or a basket of stocks, and also sells call options that correspond to the stock or basket of stocks. This strategy can be used to enhance portfolio returns and reduce volatility. Historical daily values for the BXR are available dating back to December 29, 2000. For more information and prices on the BXR Index, please visit www.cboe.com/BXR.

About Russell Indexes

Russell's index business began in 1984 as a way to accurately measure U.S. market segments and better track investment manager behavior for Russell's consulting and investment management business. The resulting index methodology produced the broad-market Russell 3000® Index and introduced the first small cap benchmark - the Russell 2000® Index. Russell applied the same methodology in 2007 to design the Russell Global Indexes.

The Russell 2000® Index is a registered trademark of The Frank Russell Company, used under license. CBOE Russell 2000 Volatility Index data is compiled for the convenience of site visitors and is furnished without responsibility for accuracy and is accepted by the site visitor on the condition that transmission or omissions shall not be made the basis for any claim, demand or cause for action. The information and data was obtained from sources believed to be reliable, but accuracy is not guaranteed.

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