RealVol Daily Indices

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

VOLS: RealVol SPY Indices

VOLSPY
Historical volatility
Historical
Historical volatility
Symbol
1-Year
½-Year
1-Quarter
1-Month
1-Week
1-Day
VOL
12.46 
16.25 
15.22 
8.57 
3.88 
2.71 
VOV
2.77 
3.59 
13.88 
77.56 
345.60 
2386.12 
DVOL
10.40 
14.03 
13.99 
9.19 
10.69 
6.02 
VCOR
-36.36 
-45.53 
-21.52 
-5.70 
n/a 
n/a 
VAR
155.25 
264.06 
231.65 
73.44 
15.05 
7.32 
 
Forecast Volatility
Forecast
Forecast Volatility
Symbol
1-Day
1-Week
1-Month
1-Quarter
½-Year
1-Year
RVOL
6.49 
7.18 
8.25 
9.31 
10.01 
10.71 
HVOL
8.14 
8.40 
8.65 
9.56 
10.26 
10.79 
As of: 20 Jun 2018

Updates at ≈12:30 A.M. (preliminary) and ≈4:30 A.M. (final) ET Tuesday through Saturday
Source of Underlying Data: NYSE Arca

Color Key

VOLd™

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

VOLw™

1-week (5-day) RealVol Index of realized volatility (using RealVol Daily Formula)

VOLm™

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

VOLq™

1-quarter (63-day) RealVol Index of realized volatility (using RealVol Daily Formula)

VOLh™

½-year (126-day) RealVol Index of realized volatility (using RealVol Daily Formula)

VOLy™

1-year (252-day) RealVol Index of realized volatility (using RealVol Daily Formula)

VOVd™

21-day of 1-day RealVol Index (vol of vol) (using RealVol Daily Formula)

VOVw™

21-day of 1-week (5-day) RealVol Index (vol of vol) (using RealVol Daily Formula)

VOVm™

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

VOVq™

21-day of 1-quarter (63-day) RealVol Index (vol of vol) (using RealVol Daily Formula)

VOVh™

21-day of ½-year (126-day) RealVol Index (vol of vol) (using RealVol Daily Formula)

VOVy™

21-day of 1-year (252-day) RealVol Index (vol of vol) (using RealVol Daily Formula)

DVOLd™

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

DVOLw™

1-week (5-day) RealVol Index of overnight/intraday realized volatility (using RealVol Overnight/Intraday Formula)

DVOLm™

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

DVOLq™

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

DVOLh™

½-year (126-day) RealVol Index of overnight/intraday realized volatility (using RealVol Overnight/Intraday Formula)

DVOLy™

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

VCORd™

N/A

VCORw™

N/A

VCORm™

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

VCORq™

1-quarter (63-day) RealVol Index of historical correlation based on the underlying and VOLq (using RealVol Correlation Formula)

VCORh™

½-year (126-day) RealVol Index of historical correlation based on the underlying and VOLh (using RealVol Correlation Formula)

VCORy™

1-year (252-day) RealVol Index of historical correlation based on the underlying and VOLy (using RealVol Correlation Formula)

VARd™

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

VARw™

1-week (5-day) RealVol Index of realized variance (using RealVol Variance Formula)

VARm™

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

VARq™

1-quarter (63-day) RealVol Index of realized variance (using RealVol Variance Formula)

VARh™

½-year (126-day) RealVol Index of realized variance (using RealVol Variance Formula)

VARy™

1-year (252-day) RealVol Index of realized variance (using RealVol Variance Formula)

RVOLd™

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

RVOLw™

1-week (5-day) RealVol Index of forecast realized volatility (using RFSV model)

RVOLm™

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

RVOLq™

1-quarter (63-day) RealVol Index of forecast realized volatility (using RFSV model)

RVOLh™

½-year (126-day) RealVol Index of forecast realized volatility (using RFSV model)

RVOLy™

1-year (252-day) RealVol Index of forecast realized volatility (using RFSV model)

HVOLd™

1-day RealVol Index of forecast realized volatility (using HARK model)

HVOLw™

1-week (5-day) RealVol Index of forecast realized volatility (using HARK model)

HVOLm™

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

HVOLq™

1-quarter (126-day) RealVol Index of forecast realized volatility (using HARK model)

HVOLh™

½-year (126-day) RealVol Index of forecast realized volatility (using HARK model)

HVOLy™

1-year (252-day) RealVol Index of forecast realized volatility (using HARK model)

*

An asterisk indicates that the data are not yet available.


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