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.

RELATED TERMS
  1. Russell 2000 Index

    The Russell 2000 index measures the performance of approximately ...
  2. Russell 1000 Index

    The Russell 1000 Index is an index of approximately 1,000 of ...
  3. Russell 3000 Growth Index

    The Russell 3000 Growth Index is a market capitalization weighted ...
  4. Russell 3000 Index

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

    The Russell Midcap Index is a market capitalization weighted ...
  6. Calendar Spread

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

    Investment Fundamentals: S&P 500 Vs. Russell 1000

    Learn about the similarities and differences between the S&P 500 and the Russell 1000 indices, and discover why investors may choose one over the other.
  2. Investing

    SPLV vs. LGLV: Comparing Low-Volatility ETFs

    Discover the major differences between two competitive low-volatility ETFs, and learn why one may be more suitable for your portfolio than the other.
  3. Investing

    IWM: iShares Russell 2000 Index ETF

    Find out more about the iShares Russell 2000 exchange-traded fund, or ETF, the characteristics of this ETF and its suitability for investing.
  4. Investing

    Small Caps: Rising Rates Not All Bad News

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

    Implied vs. Historical Volatility: The Main Differences

    Discover the differences between historical and implied volatility, and how the two metrics can determine whether options sellers or buyers have the advantage.
  6. Trading

    Getting acquainted with options trading

    Learn about trading stock options, including some basic options trading terminology.
  7. Retirement

    REQTX: Top 4 Russell Funds for Retirement

    Discover four mutual funds administered and managed by Russell Investments that would add diversification benefits to a retirement portfolio.
  8. Investing

    Understand the Risks of Trading Inverse ETFs

    Inverse ETFs sound like a great way to take advantage of market volatility. But it's important to understand how they work before you invest.
  9. Investing

    TNA: Direxion Small Cap Bull 3X ETF

    Read about a triple-leveraged exchange-traded fund that aims for 300% of the returns of the Russell 2000 Index: the Direxion Small Cap Bull 3X.
RELATED FAQS
  1. 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 >>
  2. When holding an option through expiration date, are you automatically paid any profits, ...

    Holding an option through the expiration date without selling does not automatically guarantee you profits, but it might ... Read Answer >>
  3. Why Put Money into a Volatile Stock Market?

    Learn how the up and down movement of price, known as volatility, can benefit short-term investors and why long-term investors ... Read Answer >>
  4. Which market indicators reflect volatility in the stock market?

    Stock traders use the volatility index (VIX), the average true range (ATR) indicator and Bollinger Bands to indicate volatility ... Read Answer >>
Trading Center