Taking into account the latest international financial industry standards, as well as, feedback from market participants, on April 16, 2014, the Moscow Exchange has officially launched the RVI – the new Russian volatility index. Reuters code: .RVI, Bloomberg code: RVI$ Index.
The new RVI measures market's expectation of the 30-day volatility, calculated from real prices of near- and next-series RTS Index options. In the previous RTSVX volatility index, a parameterized volatility smile was used to calculate continuous, theoretical Black-Scholes prices of the near- and next-series RTS Index options.
The RVI is calculated in real-time during, both, day and evening sessions (first values 19:00 – 23:50 MSK and then 10:00 – 18:45 MSK).
Main differences from the RTSVX volatility index:
- discrete calculation
- uses actual options prices over 15 strikes
- calculates 30-day volatility
The RVI formula:
Т30 — 30 days, expressed as a fraction of a year (year = 365 days);
Т365 — 365 days, expressed as a fraction of a year;
Т1 — time to expiration1, expressed as a fraction of a calendar year (year = 365 days) of the near-series options;
T2 — time to expiration1, expressed as a fraction of a calendar year (year = 365 days) of the far-series options;
σ12 — variance of the near-series options;
σ22 — variance of the next-series options.
1Expiration refers to the last exercise date of a given options series.