Volatility

VXN and RVX (CBOE Nasdaq-100 Volatility Index, CBOE Russell 2000 Volatility Index)

VXN and RVX are the CBOE volatility indices for the Nasdaq-100 and the Russell 2000. They measure the volatility of these indices that the option market prices in over the next 30 days, similar to the VIX for the S&P 500.

Calculation and mechanics

The basis is options on the Nasdaq-100 (NDX) and the Russell 2000 (RUT) respectively. As with the VIX, the prices of puts and calls across various strikes and expiries are used to derive a constant expected volatility over 30 days.

VXN and RVX often sit above the VIX because the expected volatility of Nasdaq-100 and Russell 2000 stocks can be higher than that of the more broadly based S&P 500. Comparing the three indices shows in which market segment the option market currently prices in higher or lower swings.

Distinction

VIX, VXN and RVX measure the same kind of metric for different equity indices: the 30-day volatility priced in by the option market. The VVIX, by contrast, measures the expected volatility of future VIX values.

The IV of an ETF such as QQQ or IWM is based on the options of that ETF. It often moves similarly to VXN or RVX respectively but is not the same metric.

Sources

Related terms

All terms in the glossary

All market and analytical information is provided for educational and analytical purposes only and does not constitute investment advice or a trading recommendation.