RealVol Indices Executive Summary

Volatility Defined

In the financial markets, all investments have risk.  Because of risk, there also exists opportunity.  Many people automatically think of risk as “bad,” or synonymous with risk of loss.  However, the true definition of risk encompasses not only the potential for loss, but the potential for gain as well.  One of the ways to measure price risk is known as “volatility.”  This is why volatility is so important in the endeavor of investing and risk management.  In its simplest description, volatility is “magnitude of movement regardless of direction.”  In other words, volatility deals only with price change, but is indifferent as to whether that change is up or down.

RealVol Indices

RealVol Indices measure realized volatility on a daily and real-time basis.  The one real-time version is trademarked under the name RealVol index.  The other versions will be updated once per day (“daily”).  All RealVol Indices attempt to measure the movement, regardless of direction, of some underlying, over a predefined time frame, and will be published on a multitude of underlyings.  The real-time version can be used to give an indication of the daily realized volatility level but within the trading day.  Three daily versions named 1RVOL, 3RVOL, and 12RVOL (or jointly,  RVOLs) will be used to settle all tradable RealVol instruments.  The other nine RealVol Indices can be used to guide investment decisions.