In the time period from August 22 through October 15 –
- The Russell 2000® (RUT) Index fell from 1160.34 to 1072.45 (a 6% drop)
- The CBOE Russell 2000 Volatility IndexSM (RVXSM) rose from 16.13 to 25.49 (a 58% jump).
The RVX Index is a leading barometer of investor sentiment and market volatility relating to the Russell 2000 Index and small-cap stocks, and is a key measure of market expectations of near-term volatility conveyed by Russell 2000 stock index option prices. It measures the market’s expectation of 30-day volatility implicit in the prices of near-term Russell 2000 options.
SAMPLE STRATEGIES – RVX FUTURES AND OPTIONS
Investors who are bullish on RVX, and bearish on small-cap stocks consider the following strategies (but please note that the RVX and RUT indexes do not always move in the opposite directions) –
- Long RVX Call Options
- Long RVX Call Spreads
- Short RVX Put Credit Spreads
- Long RVX Futures
Investors who are bearish on RVX, and bullish on small-cap stocks could consider—
- Long RVX Put Options
- Long RVX Put Spreads
- Short RVX Call Credit Spreads
- Short RVX Futures
To learn more about the futures and options on the RVX Index and on risk management strategies, please visit www.cboe.com/RVX.