The VolX Formula
(Realized Volatility Formula)

Calculating Realized Volatility

The formula to settle VolContract futures on the expiration day is the following:

Where:

Vol = Realized Volatility

n = number of trading days in the period

R_t = continuously compounded daily return as calculated by the formula:

Where:

Ln = natural logarithm

P_t = Underlying Reference Price at time t

P_t–1 = Underlying Reference Price at the time period immediately preceding time t

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