RealVol has developed a number of RealVol Instruments and RealVol Indices based on realized volatility as defined by the RealVol Formulas.
This page will focus on RealVol Indices. Each RealVol Index has its own unique formula, but all are based on the realized volatility of some underlying.
RealVol Indices are designed to provide the user with key measurements of the risk of an underlying. In addition, tradable instruments could be listed such that a market participant might profit from or hedge against realized volatility movements.
Realized Volatility Defined
Realized volatility is a measure of the magnitude of daily price movements, regardless of direction, of some underlying, over a specific period.
Daily vs. Real-Time Indices
There are many RealVol Indices; all use daily measurements except for one, which is real-time.
RealVol Daily Indices
For each underlying, there are six time frames and seven types of daily indices (40 in total).
Six Time Frames
- 1-week (5-trading-days)
- 1-month (21-trading-days)
- 1-quarter (63-trading-days)
- 1-half year (126-trading-days)
- 1-year (252-trading-days)
- Realized volatility (vol)
- Realized vol of vol
- Overnight/intraday vol
- Correlation (underlying vs. vol)
- Realized variance
- Rough forecast vol
- HARK forecast vol
Realized vs. Implied
Realized volatility is functionally very different from implied volatility. Realized volatility is based on the actual movement of an underlying, while implied volatility is based on a derived value of associated options prices. While the two concepts are related, their results are based on distinct market factors.
Our flagship index is the 1-month (21-trading day) RealVol Index. This index is used to settle all RealVol Instruments. There are two versions: a real-time version and a daily version (both are VOL™).