Glossary of Terms, Abbreviations, and Symbols

The Volatility Exchange:  The DBA of the The VolX Group Corporation and its subsidiaries, The Volatility Exchange Corporation (proposed CFTC-regulated entity) and The Valuation Exchange Corporation (proposed SEC-regulated entity).

VolX Exchange:  The abbreviation for The Volatility Exchange.

Realized Volatility:  The actual or historical volatility that an asset or instrument displays. All Realized Volatilities calculated at the VolX exchange are derived solely by using the VolX formula.

Vol:  The abbreviation for Realized Volatility as calculated by the VolX formula.

VolContract Futures:  Realized-Volatility contracts. Futures-like financial instruments that capture the inter-day Realized Volatility of an underlying asset or instrument. The contract settles to the ExpirationVol Series.

VolShare Securities:  Realized-Volatility instruments. Securities-like financial instruments that capture the inter-day Realized Volatility of an underlying security. The security settles to the ExpirationVol Series.

VolSwap Instruments:  Realized-Volatility instruments. Standardized, centrally cleared, over-the-counter (OTC) instruments that capture the inter-day Realized Volatility of an underlying asset, index, or instrument.  The  instrument settles to the ExpirationVol Series.

1Vol: The symbol for a specific VolContract futures that uses a period of approximately one month for its Realized-Volatility Period.

3Vol: The symbol for a specific VolContract futures that uses a period of approximately three months for its Realized-Volatility Period.

12Vol: The symbol for a specific VolContract futures that uses a period of approximately one year for its Realized-Volatility Period.

VolX Formula: A mathematical formula used to calculate the annualized standard deviation of continuously compounded daily returns of an underlying asset or instrument, assuming a zero mean. The same formula is applied to three distinct concepts: (1) the general calculation of any Realized Volatility used by the VolX exchange; (2) the specific calculation of any Realized Vol index (RVol index) or Realized VolofVol index (RVOV index); and (3) the specific calculation of any PartialVol series (PVOL series) or ExpirationVol series (EVOL series), within the Realized-Volatility Period.

Underlying Reference Prices: The values used for the inputs to the VolX formula. Typically, they will be the daily “closing,” “last,” “final,” or “settlement” prices of the underlying asset or instrument over a defined period.

Anticipatory Period: The first of two distinct periods over the life of a VolContract futures. It begins on the first day that a VolContract futures is listed for trading and ends on the last trading day before the start of the Realized-Volatility Period.

Realized-Volatility Period: The second of two distinct periods over the life of a VolContract futures, and the period used to determine the ExpirationVol series. It begins on the first day immediately following the end of the Anticipatory Period and ends on the expiration day of the VolContract futures. Typically, there will be two lengths of Realized-Volatility Periods: approximately one month and approximately three months. (Note: the starting and ending dates of the Realized-Volatility Periods of individual VolContract futures will vary by contract, and will often, but not always, correspond to the associated options expiration schedule of the underlying asset or instrument.)

ExpirationVol Series: Any calculation of Realized Volatility using the VolX formula that encompasses the full set of Underlying Reference Prices in the Realized-Volatility Period. The value used as the contract settlement price of VolContract futures and VolShare securities.

EVOL Series: The symbol for ExpirationVol series of VolContract futures and VolShare securities.

PartialVol Series: Any calculation of Realized Volatility using the VolX formula, other than ExpirationVol series, that encompasses the to-date subset of all known Underlying Reference Prices within the Realized-Volatility Period of VolContract futures.

PVOL Series: The symbol for PartialVol series of VolContract futures.

InferredVol Series: Any calculation of the remaining Realized Volatility to expiration, as forecast by traders of one or more VolContract futures. It is the volatility that can be inferred by applying a root-mean-square formula (perhaps more than once) to a partial realized volatility PVOL series and the current market price, or prices, of one or more VolContract futures.

IVOL Series: The symbol for InferredVol series of VolContract futures.

GARCH: Generalized Autoregressive Conditional Heteroskedasticity.

Modified GARCH Model: A GARCH model that has been modified specifically for The Volatility Exchange by The Volatility Institute. It attempts to predict future Realized Volatility through a sophisticated formula combining the mean-reversion and autocorrelation properties of volatility.

GARCHVol Series: Any discrete series of forward-looking (forecast) views of an ExpirationVol series of VolContract futures, based on a Modified GARCH Model.

GVOL Series: The symbol for any GARCH-based forecast of an EVOL series.

VolX Index: The generic term for any proprietary index of Realized Volatility of the VolX exchange. There are three versions: Index of Realized Vol, Index of Realized Vol of Vol, and Index of Forecast Vol.

RealVol Index: Any continuous series of backward-looking (historical) views of Realized Volatilities. The Index uses the same VolX formula as the one applicable to VolContract futures. There are two important distinctions. First, it uses a constant number of rolling Underlying Reference Prices instead of the defined set of Underlying Reference Prices in the Realized-Volatility Period of the VolContract futures. Second, the Index uses an algorithm to switch, if needed, from an expiring underlying contract to the next listed contract, thereby creating a continuous series of index prices.

RVOL Index: The symbol for any proprietary RealVol index.

Vol of Vol: The generic term for the Realized Volatility of the Realized Volatility of an asset or instrument.

RealVolofVol Index: Any continuous series of backward-looking (historical) views of Realized Volatility of Realized Volatility. The Index uses the same VolX formula as the one applicable to VolContract futures. There are two important distinctions. First, it uses a constant number of rolling Underlying Reference Prices instead of the defined set of Underlying Reference Prices in the Realized-Volatility Period of the VolContract futures. Second, the Index uses an algorithm to switch, if needed, from an expiring underlying contract to the next listed contract, thereby creating a continuous series of index prices.

RVOV Index: The symbol for RVOL index of an RVOL index.

ForecastVol Index: Any continuous series of forward-looking (forecast) views of Realized Volatility based on a Modified GARCH Model.

FVOL Index: The symbol for any GARCH-based ForecastVol index.

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