| Russian Volatility Index |
| Index name |
Russian Volatility Index |
| Index code |
RTSVX |
| Bloomberg code |
RTSVX Index |
| Reuters code |
.RTSVX |
| Calculation intervals |
Every 15 seconds |
Time of calculation
(Moscow time) |
From 7:00pm to 11:50 pm and from 10:00 am to 6:45pm |
| Calculation accuracy |
4 decimal places |
| Opening value |
First index value calculated on that day |
| Closing value |
Last index value calculated on that day |
| First calculated on |
December 7th, 2010 |
| Component securities used in the Index calculation |
The options on RTS Index futures contract |
| Options series used in the Index calculation |
Nearby and next options series |
| Index calculation formula |
 ,
where:
T1days – time to expiration of options series with the nearby expiration date, fraction of a day;
nfut – a number of calendar days from the date of beginning of rollover to the expiration date of nearby options series inclusive, the value is equal 8 (eight);
nsmooth – a number of calendar days for conducting the rollover, the value is equal 4 (four);
σ1– aggregated volatility of nearby options series;
σ2 – aggregated volatility of options series with the expiration date following the expiration date of nearby options series. |
| Aggregated volatility calculation formula |
where:
Fi – price of a futures contract, which is an underlying asset for nearby/next options series;
Ti – calendar period until an expiration date of nearby/next options series inclusive, fraction of a day;
C(x) – the function that specifies the price of call options;
P(x) – the function that specifies the price of put options:
P(x) = C(x) - F + K;
K – option strike price. |
| Methodology of calculation |
http://fs.rts.ru/files/6540/ |
| Archives |
http://www.rts.ru/en/index/stat/dailyhistory.html?code=RTSVX |
| Contacts |
index@rts.ru |
