Introduction
Options on the RVX Index
Futures on the RVX Index
Methodology for Calculation of the RVX Index
RVX Historical Price Data
RVX Price Charts
RVX Press Releases
September 26, 2007
September 6, 2007
May 5, 2006
June 11, 2007
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.
Options on the RVX Index
Contract Specifications
Price Quote
Sample Options Strategies
CBOE Russell 2000 Volatility Index Options (RVX) Bell Ringing (L-R) Ben Londergan, Group One; Sara Wilson, Russell Indexes; Kelly Haughton, Russell Indexes; Bill Brodsky, CBOE; Dick DuFour, CBOE)
Futures on the RVX Index
On July 6, 2007, CBOE Futures ExchangeSM (CFE®) launched futures contracts on the CBOE Russell 2000 Volatility Index (ticker symbol RVX, futures symbol VR), under a licensing agreement with The Russell Investment Group. Futures on RVX trade electronically on CFE using the CBOEDirect® trade engine. These innovative futures provide a pure play on implied volatility independent of the direction and level of stock prices. RVX futures may also provide an effective way to hedge equity returns, to diversify portfolios, and to spread implied against realized volatility.
Contract Specifications
CFE Fee Schedule
Margin Requirements
Daily Market Statistics
Historical Market Data
Quote Vendor Symbols
Delayed Quotes
Information & Regulatory Circulars
Settlement Information
Methodology for Calculation of the RVX Index
On September 22, 2003, CBOE implemented a new methodology and revised price history for the RVX Index. The same formula and methodology used to calculate the VIX Index is applied to the RVX as well.
RVX Historical Price Data
Historical Data
RVX Price Charts
Please note that past performance is not a guarantee of future returns, and that RVX futures prices might move in different ways than RVX spot prices.
Links to More Up-to-date Price Information
Delayed Price Quotes
BigCharts
Bell Ringing for RVX Futures
Kelly Haughton of Russell Indexes rings CBOE's opening bell for the opening day of trading in options on the CBOE Russell 2000 Volatility Index (RVX) on September 27, 2007 - From left to right: Ben Londergan, Group One; Sara Wilson, Russell Indexes; Kelly Haughton, Russell Indexes; Bill Brodsky, CBOE; Dick DuFour, CBOE.
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.
CBOE®, Chicago Board Options Exchange®, CBOE Volatility Index®, and VIX® are registered trademarks of Chicago Board Options Exchange, Incorporated (CBOE). BXM, BXD, BXN, BXR, BXY, VXD, VXN, RVX and SPX are service marks of CBOE. CFESM is a service mark of CBOE Futures Exchange, LLC. Dow Jones®, DJIA®, and Dow Jones Industrial AverageSM are trademarks of Dow Jones & Company, Inc. and have been licensed for use for certain purposes by CBOE. CBOE's Options on the Dow based on the Dow Jones indexes and financial products based on the CBOE DJIA BuyWrite Index and the CBOE DJIA Volatility Index are not sponsored, endorsed, marketed or promoted by Dow Jones and Dow Jones makes no representations regarding the advisability of investing in such products. S&P ®and S&P 500® are registered trademarks of the McGraw-Hill Companies, Inc. and are licensed for use by CBOE. The Russell 2000® Index is a registered trademark of The Frank Russell Company, used under license. Nasdaq®, Nasdaq-100® and Nasdaq-100 Index are trademarks of The Nasdaq Stock Market, Inc. (with which its affiliates are the "Corporations"). The CBOE Nasdaq-100 BuyWrite Index, and the CBOE Nasdaq-100 Volatility Index ("Indexes") are not derived, maintained, published, calculated or disseminated by the Corporations. Neither the Indexes nor any Derivative Product based on the Indexes has been passed on by the Corporations as to its legality or suitability. Such Derivative Products are not issued, endorsed, sold, sponsored, marketed or promoted by the Corporations. The Corporations make no warranties and bear no liability with respect to the Indexes. The methodologies of the CBOE BuyWrite Indexes and the CBOE Volatility Indexes are owned by CBOE and may be covered by one or more patents or pending patent applications. CBOE's BuyWrite Indexes are designed to represent a proposed hypothetical buy-write strategy. Like many passive indexes, the BuyWrite Indexes do not take into account significant factors such as transaction costs and taxes and, because of factors such as these, many or most investors should be expected to under perform passive indexes. Investors attempting to replicate the BuyWrite Indexes should discuss with their brokers possible timing and liquidity issues. Transaction costs and taxes for buy-write strategies could be significantly higher than transaction costs for a passive strategy of buying-and-holding stocks. Past performance does not guarantee future results.
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