As of December 7, 2010 RTS Stock Exchange will introduce the calculation and publication of the Russian Volatility Index (RTSVX). The calculation will be based on current quotes of RTS Index options and be made every 15 seconds (during the RTS’s trading sessions).
The Russian Volatility Index is the first exchange’s indicator on the Russian stock market, which reflects market participants’ expectations for potential fluctuations of the RTS Index futures contracts, and the Russian securities market in whole.
‘The Russian Volatility Index broadens the range of RTS Indices, acting as a unique reflector of the situation on the Russian stock market. It demonstrates investments opportunities, allows estimating the current market activity, instability level and potentials for the stock market’s movements’, said Sergey Golovanev, Head of RTS Indices and Market Data.
‘As the experience of the top global exchanges demonstrates, this indicator serves as a benchmark for short-term market risks and as a barometer of investor sentiment and uncertainty levels on the stock market. Global financial centers in Europe, the USA, Asia have already calculated similar index. The most famous among them is the CBOE Volatility Index (VIX)’, comments Evgeny Serdyukov, Director of Derivatives market FORTS at RTS Stock Exchange.
Starting from December 7, 2010 the Index’s historical data and current values will be available at the RTS Stock Exchange’s site in the section dedicated to the Indices, in the trading terminals, as well as the data will be distributed by the leading information agencies.