VolX has developed a number of RealVol Instruments and RealVol Indices based on realized volatility as defined by the RealVol Formulas.
Once approved by the SEC, BOX
Options Exchange is planning to list
RealVol SPY Options under an
exclusive license with VolX.
Realized volatility, as defined by the RealVol Formula, measures the daily movement of the underlying asset regardless of direction. It is functionally different from instruments based on implied volatility.
RealVol SPY Options are standard exchange-traded options that cash settle to the RealVol SPY Index.
While there are many RealVol Indices, the one most relevant for this page is the RealVol SPY Index.
At the heart of the RealVol Indices is the RealVol Formula. It is a simple, modified standard deviation formula that sets the degrees of freedom to zero, the mean to zero, and the annualization factor to a constant 252 trading days.
RealVol SPY Indices
These indices come in two forms:
- A daily version
- A real-time version
The resulting values for both
versions are the same at the close of
trading each day.
RealVol Daily SPY Index
The RealVol Daily SPY Index is based on a 21-trading-day (approximately 1-month), rolling, realized volatility of the daily closing price on the primary market of the SPDR® S&P 500® ETF (symbol SPY) on the
primary market at NYSE Arca. This index is used to settle all RealVol SPY Options.
RealVol Real-Time SPY Index
The RealVol Real-Time SPY Index uses the current day's real-time SPY price to estimate the RealVol Daily Index throughout the trading day.
RealVol Options will include in-the-money,
at-the-money, and out-of-the-money strikes and will expire every Friday.
RealVol Options will allow market participants to hedge against, invest in, or trade on realized volatility. They will be useful particularly for hedging standard options, spreading with implied volatility products, and enhancing an S&P 500 index portfolio.