Index calculation is discontinued on December 12, 2016
The Russian Volatility Index is an aggregated indicator that tracks the performance of the futures and options market. The Index is calculated on the basis of volatility levels of the nearby and next series of options on RTS Index futures.
The Russian Volatility Index was introduced on 7 December 2010.
Black-Scholes option pricing formula for futures-style options with futures as the underlying asset is applied to calculate the Index's values. Option's volatility level determined based on regular Exchange's volatility curve truncated by two parameters is used for the calculation. The truncation is applied in order to single out strike ranges with stable options quotations.
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