March 2015
CBOE RUSSELL 2000 VOLATILITY
INDEX (RVX )
®
SM
- Measures expected volatility of premier small-cap benchmark index
- Useful barometer of investor sentiment regarding small-cap stocks
The CBOE Russell 2000 Volatility Index (RVX) is a key measure of market expectations of near-term volatility conveyed
by Russell 2000® (RUT) stock index option prices. It measures the market’s expectation of 30-day volatility implicit in
the prices of near-term Russell 2000 options. RVX is quoted in percentage points, just like the standard deviation of a
rate of return, e.g. 19.36. CBOE disseminates the RVX index value continuously during trading hours. The RVX Index is a
leading barometer of investor sentiment and market volatility relating to the Russell 2000 Index.
Cash-settled options and futures contracts on the RVX are now offered and used for diversifications and risk
management purposes. www.cboe.com/RVX
PRICE CHARTS (DAILY CLOSING VALUES JAN. 2, 2004 — Jan. 31, 2015)
The biggest one-day upside moves in the RVX Index were up 16.63 points on August 8, 2011 (after the downgrade of
U.S. Treasury debt), and up 15.13 points on October 22, 2008 (during the financial crisis).
CBOE Russell 2000 Volatility Index (RVX) and Russell 2000 Index (RUT)
The average daily close for RVX was 26
90
1600
80
1400
70
1200
1000
50
800
40
600
30
400
20
200
10
1/2/2015
7/2/2014
1/2/2014
7/2/2013
1/2/2013
7/2/2012
1/2/2012
7/2/2011
1/2/2011
7/2/2010
1/2/2010
7/2/2009
1/2/2009
7/2/2008
1/2/2008
7/2/2007
1/2/2007
7/2/2006
1/2/2006
7/2/2005
1/2/2005
7/2/2004
1/2/2004
0
RUT
RVX
60
0
Jan. 1, 2004-Jan. 31, 2015 - Daily closing values - www.cboe.com/RVX
Sources: Bloomberg and CBOE
Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options. Copies are available from your broker, by
calling 1-888-OPTIONS, or at www.theocc.com. Futures trading is not suitable for all investors, and involves risk of loss. The information in this document is provided solely for general education and information purposes.
Past performance is not indicative of future results. No statement within this document should be construed as a recommendation to buy or sell a security or future or to provide investment advice. This document contains
index performance data based on back-testing, i.e., calculations of how the index might have performed prior to launch. Backtested performance information is purely hypothetical and is provided in this document solely for
informational purposes. Supporting documentation for any claims, comparisons, statistics, or other technical data, will be supplied upon request. Russell 2000® is a registered trademark of Russell Investments, used under
license. CBOE®, CFE® and Chicago Board Options Exchange® are registered trademarks and CBOE Futures Exchange, Execute Success and RVX are service marks of Chicago Board Options Exchange, Incorporated (CBOE).
Copyright © 2015 Chicago Board Options Exchange, Incorporated. All Rights Reserved.
CBOECBOE | 400 South LaSalle Street | Chicago, IL 60605
www.cboe.com/RVX