Moscow Exchange to launch new Russian market volatility indicator

Moscow Exchange will begin calculating and publishing the RVI Index, a new Russian market volatility index, on 16 April.

The index facilitates the evaluation of Russian market volatility and broadens the range of tools available to options traders, hedgers, and institutional investors.

The main principles of RVI Index calculation are:

1. The index gives 30 day volatility values.
2. Its calculations are based on two series of options on RTS Index futures, namely the 1) nearest and 2) following quarterly or monthly (not weekly) series, with more than seven days to expiration inclusive.
3. The index also includes quotes for the underlying futures.
4. In the event of quotes and trades being unavailable, the theoretical option price may be used to calculate the index; this is determined based on the underlying futures quote and volatility curve at the time of calculation.
5. The index is calculated every 15 minutes during the Derivatives Market's main and evening trading sessions (from 10:00 to 6:45 pm MSK and from 7:00 to 11:50 MSK).

Moscow Exchange will continue publishing the existing RTSVX index.

For further information, please contact the Public Relations Department at (495) 363-3232.