Volatility Indices
S&P BSE SENSEX
हिन्दी     मराठी     ગુજરાતી


SENSEX Realized Volatility Index

"The first of its kind in India, the SENSEX Realized Volatility (REALVOL) Index provides market participants with an accurate measure of the historic volatility of the SENSEX over fixed 1-, 2-, and 3-month time horizons, which are synchronized with BSE’s 1-, 2-, and 3- month futures & options expiration cycles. Each index is reset at the end of its respective cycle.

The SENSEX REALVOL will be a useful tool for option writers attempting to manage their risk, as their P&L is driven by the difference between realized volatility and implied volatility over the life of options written. Products based on the REALVOL family of indices will allow Indian traders to hedge against sudden price movements (i.e. reducing Gamma exposure) and to take directional bets on the realized volatility of the SENSEX."

REALVOL 1MTH   |    REALVOL 2MTH   |    REALVOL 3MTH
Fact Sheet    White Paper    Historical data :
 
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REALVOL 1MTH : SENSEX 1-Month Realized Volatility Index

Current Value : 12.09     1.75     16.92%     as on:- 17 Apr 2014
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REALVOL 2MTH : SENSEX 2-Month Realized Volatility Index

Current Value : 12.09     1.75     16.92%     as on:- 17 Apr 2014
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REALVOL 3MTH : SENSEX 3-Month Realized Volatility Index

Current Value : 11.25     0.43     3.97%     as on:- 17 Apr 2014
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