What is the 'CBOE Russell 2000® Volatility Index (RVX)'

The CBOE Russell 2000® Volatility Index is an indicator of the short-term (30-day) expectation of volatility in the stock market. It specifically calculates volatility for Russell 2000 options, or the small-cap portion of U.S. equity markets.

BREAKING DOWN 'CBOE Russell 2000® Volatility Index (RVX)'

The Russell 2000 Index is a part of the Chicago Board Options Exchange (CBOE), the largest exchange for U.S. options, trading under the ticker RUT. It tracks the performance of the bottom 2,000 stocks out of the largest 3,000 in the United States, which tend to be smaller companies, whereas the Russell 1000 Index (RUI) tracks the top 1,000 stocks, which tend to be large multinational companies. It only follows stocks housed in the United States that are traded on the major stock exchanges: NYSE, NASDAQ, or AMEX. It is updated each year to reflect the latest stock standings.

RUT options have the following defining characteristics:

  • In general, options can only be exercised on the expiration date, or European style. The exact expiration date is the third Friday of the month of expiration, and trading ceases at the end of business the Thursday prior.
  • Strike prices are listed initially with a minimum interval of 2.5 points. If the strike price passes 200, the minimum interval is changed to 5 points.
  • If an option is purchased within nine months of the expiration date, it must be paid for in full.
  • Prices and quotes are transparent.
  • RUT options are traded from 8:30 a.m. to 3:15 p.m. Central Time. This is because the CBOE is Chicago-based.

Features of the Russell 2000 Volatility Index

The Russell 2000 Volatility Index tracks the 30-day expectations of the volatility of the Russell 2000 option prices. The Russell 2000 Volatility Index operates under the ticker RVX. Due to its smaller-cap build, the RVX tends to trade at higher levels of volatility than its S&P 500 counterpart, VIX. It is traded in percentage points, and CBOE provides up-to-the-minute volatility estimates throughout the trading day.

The Russell 2000 Volatility Index is an indication of investor opinion and market direction of the Russell 2000 Index. It has the following characteristics:

  • The expiration date is the Wednesday 30 days before the third Friday of the month following the month in which the option expires. The Volatility Index can trade up until the Tuesday prior to expiration, or the day immediately preceding the expiration date if there is a holiday.
  • Any options purchased within nine months of expiration must be paid for in full.
  • The Volatility Index trades on Central Time.

The short-term expectation of stock market volatility, as measured by the Russell 2000 Small-Cap Volatility Index, has been fairly subdued in recent years and has lightened since early 2016, with the latest bouts of significant volatility occurring in mid-2010 and late-2011, when fears stemming from a European sovereign debt crisis temporarily roiled global markets.

  1. Russell 3000 Index

    The Russell 3000 Index is a market-capitalization-weighted equity ...
  2. Russell Midcap Index

    The Russell Midcap Index is a market capitalization weighted ...
  3. Russell Top 50 Index

    The Russell Top 50 Index is a market capitalization weighted ...
  4. VIX Option

    A VIX option is a derivative security based on the CBOE Volatility ...
  5. Reconstitution

    Reconstitution describes the re-evaluation of a market index, ...
  6. Calendar Spread

    A calendar spread is a low-risk, directionally neutral options ...
Related Articles
  1. Investing

    A Surprise Among Small-Cap ETFs

    Small-cap ETFs are disappointing this year, but that is not true of this growth ETF.
  2. Investing

    A Guide to Understanding Market Volatility

    Market volatility is inevitable. Understanding how it works can help investors keep calm during periods of short-term declines.
  3. Investing

    ETF Options Vs. Index Options

    Choosing either ETF options or index options can make the difference between big profits or a big bust.
  4. Investing

    Russell Rebalance Study: What You Need to Know

    Analyze the recent stock performance for different types of stocks to determine which equities could gain or benefit ahead of Russell index reconstitution.
  5. Investing

    Key Factors Of The Russell 2000 Index

    The Russell 2000 index represents the small cap universe, with a broad selection of fast growth companies at the bottom end of the capitalization spectrum.
  6. Investing

    Small Caps: Rising Rates Not All Bad News

    Small-cap stocks can be surprisingly durable in the face of higher interest rates.
  7. Investing

    Roller coaster 2016 for Stocks? Exploring Global Stock Volatility

    Find out how much volatility global equity investors are in for during 2016 by seeing how much they've experienced over the past five years.
  1. How does implied volatility impact the pricing of options?

    Learn about two specific volatility types associated with options and how implied volatility can impact the pricing of options. Read Answer >>
  2. Can an option be exercised on the expiration date?

    American options can be exercised up to and including the expiration date but European options can only be exercised on the ... Read Answer >>
  3. What is the relationship between implied volatility and the volatility skew?

    Learn what the relationship is between implied volatility and the volatility skew, and see how implied volatility impacts ... Read Answer >>
Hot Definitions
  1. Portfolio

    A portfolio is a grouping of financial assets such as stocks, bonds and cash equivalents, also their mutual, exchange-traded ...
  2. Gross Profit

    Gross profit is the profit a company makes after deducting the costs of making and selling its products, or the costs of ...
  3. Diversification

    Diversification is the strategy of investing in a variety of securities in order to lower the risk involved with putting ...
  4. Intrinsic Value

    Intrinsic value is the perceived or calculated value of a company, including tangible and intangible factors, and may differ ...
  5. Current Assets

    Current assets is a balance sheet item that represents the value of all assets that can reasonably expected to be converted ...
  6. Volatility

    Volatility measures how much the price of a security, derivative, or index fluctuates.
Trading Center