Thomson Reuters Realized Volatility Index

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The Thomson Reuters Realized Volatility Index is a newly developed stock market index from Thomson Reuters Indices. It measures and forecasts realized volatility at a variety of time horizons - from one day to several months.

Stock market index method of measuring the value of a section of the stock market

A stock index or stock market index is a measurement of a section of the stock market. It is computed from the prices of selected stocks. It is a tool used by investors and financial managers to describe the market, and to compare the return on specific investments.

Thomson Reuters Canada-based media company

Thomson Reuters Corporation is a Canadian multinational mass media and information firm. The firm was founded in Toronto, Ontario, Canada, where it is headquartered at 333 Bay Street in Downtown Toronto. Thomson Reuters shares are cross listed on the Toronto Stock Exchange and the New York Stock Exchange.

Contents

Function

This index can be used to construct volatility curves with a variety of time horizons. It can also be used to construct the skew necessary for pricing out-of-the-money options. Its forecast ability allows realized volatility to be known a few days to a month in advance. Realized volatility can be considered a more useful measure for market participants than implied volatility (IV) measures.

History

The index was first introduced during the webcast The Long & Short of It - New Measures of Volatility on September 23, 2009 by Andrew Clark, Chief Index Strategist at Thomson Reuters Indices.

A strategist is a person with responsibility for the formulation and implementation of a strategy. Strategy generally involves setting goals, determining actions to achieve the goals, and mobilizing resources to execute the actions. A strategy describes how the ends (goals) will be achieved by the means (resources). The senior leadership of an organization is generally tasked with determining strategy. Strategy can be intended or can emerge as a pattern of activity as the organization adapts to its environment or competes. It involves activities such as strategic planning and strategic thinking.

Thomson Reuters Indices is a line of indices and index services from Thomson Reuters:

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