Thomson Reuters Realized Volatility Index
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The Thomson Reuters Realized Volatility Index is a stock market index from Thomson Reuters Indices. It measures and forecasts realized volatility at a variety of time horizons – from one day to several months.
This index can be used to construct volatility curves with a variety of time horizons. It can also be used to construct the skew necessary for pricing out-of-the-money options. Its forecast ability allows realized volatility to be known a few days to a month in advance. Realized volatility can be considered a more useful measure for market participants than implied volatility (IV) measures.
