Cboe Russell 2000 Volatility Index (RVX)

The Cboe Russell 2000 Volatility Index^SM (RVX) is a VIX^®-style estimate of the expected 30-day volatility of Russell 2000^® Index returns. RVX is calculated by interpolating between two  weighted sums of option midquote  values,  in this case options on the Russell 2000 Index (RUT)  The two sums essentially represent the expected variance of the Russell 2000 Index returns up to two option expiration dates that bracket a 30-day period of time.  RVX  is obtained by annualizing the interpolated value, taking its square root and expressing the result in percentage points. 

Resources

• RVX Index - Historical Price Data