RealVol in the News

Options Insider Interview

Options Insider Radio Network, Apr 2015:

Cornering the market in realized volatility and more with VolX. In this episode, Mark is joined by Bob Krause, CEO of VolX, the Volatility Exchange: Interview.

VIX is coming of age

From Jaime Toplin, Futures Magazine

... “[The] need goes beyond the VIX, and into other products currently being patented in the United States. One of these products is the RealVol SPY Options, which is a measure of realized volatility as opposed to implied volatility. RealVol is created by VolX and its founder Robert Krause. 

“‘[The difference between us and the VIX] isn’t bad or good, it just is,’ Krause says. ‘The only similarity between indexes is the term volatility.’

“RealVol, which will be launched on BOX options exchange pending approval from the Securities and Exchange Commission, measures actual realized volatility rather than forecasted. 

“Krause likened it to a weather report: ‘When settling a bet over the high temperature in a month, you could measure the temperature every day and decide at the end, or you could look at whether it was predicted to be cooler from the outset and decide based on that.' 

“‘You get realized, but you’re trading implied. You’re forecasting what the future forecast of a forecast will be. That’s what you’re doing on the VIX,’ he says. 

“Volatility is becoming an asset class and the VolX index may address a flaw in the VIX that fails to recognize upside volatility. ‘The CBOE did the heavy lifting to teach us what volatility is all about,’ he says, ‘VIX is the listed equivalent of a forward [variance] swap. Ours is the listed equivalent of a forward starting volatility swap.’” 

My Realization: BOX and VolX Team Up to List Options on RealVol SPY Index

From Doug Ashburn, A John Lothian Blog

When assessing actual exposure in the market, why does the listed world use measures of implied volatility?

That is the question VolX CEO Bob Krause asks to anyone who will listen. Why, he wonders, is the listed derivatives market dominated by the VIX, a measure of 30-day volatility expectations?

The standard in the OTC market, by contrast, is the variance swap – a contract where the payoff is in terms of actual movement in the underlying (“realized volatility” if you will). He says the OTC market is doing it right, in that participants are hedging actual market exposure with actual price movement, rather than expectations of future price movement.

Pending Securities and Exchange Commission approval in the next few months, BOX Options Exchange will begin exclusively listing VOLS, options on a realized volatility index based on the SPDR S&P 500 Exchange Traded Fund (SPY ETF). These cash-settled options will reflect the daily closing values of the SPY over a 21-day trading period per VolX’s RealVol Daily Formula. Full text ....

Five Minutes with Robert P. Krause, Chairman and CEO, VolX

From JLN FX, A John Lothian Newsletter/Blog

One month ago, JLN FX ran a feature on FX RealVol futures, just prior to the initial launch of 1- and 3-month realized volatility contracts based on CME Group’s Euro Currency futures. As the first such contract cycle — March 2011 1-month EUR/USD — expired this past Friday, we thought it would be a good time to follow up with VolX chairman and CEO Robert Krause, creator and patent-holder of RealVol futures. Contributing Editor Douglas Ashburn spoke with Krause about how the contracts are going, who is making markets on them and what is next for VolX. Interview ...

CME Group to Introduce Forex Volatility Market Contracts Next Week

By Jacob Bunge, Of DOW JONES NEWSWIRES

CHICAGO, Feb 3, 2011 — CME Group Inc. (CME) will introduce a new slate of futures contracts next week designed to allow investors to shield foreign exchange holdings against turmoil in global currency markets.

The planned FX RealVol futures are linked to realized volatility in key currency pairs, and the first futures introduced on CME's electronic markets will be centered on the euro/U.S. dollar pairing. (Full article available at WSJ Online.)

VolX Exchange Preps Exchange Filing, Contract Launch

Wall Street Letter, Jan 14, 2011 — The Volatility Exchange (VolX), which will offer trading in futures contracts targeting realized volatility, is preparing documentation to apply for derivatives contract market status. The work is happening in conjunction with the scheduled launch of its first contracts next month, which will be available on the CME Group’s Globex trading system.

The concept is a play on the volatility trading that has become prevalent in the options and futures market following the calculation and dissemination of the Chicago Board Options Exchange’s Market Volatility Index (VIX) and the launch of contracts based on that index. The VIX measures implied volatility of the Standard & Poor’s 500 Index options. Robert Krause, CEO of VolX exchange, said his exchange’s RealVol futures can measure implied volatility as well as realized volatility on any underlying asset. Full article (subscription required) ...

Options Insider Radio 77: Real Volatility Interview

In this episode, Options Insider Radio Host Mark Longo is joined by Robert Krause, CEO, The Volatility Exchange. Mark and Robert discuss the methodology and psychology behind the new realized volatility contracts from VolX. With the VIX obsession reaching a fever pitch, is there room for a realized volatility product in the marketplace? How will VolX overcome the initial stumbling blocks for new proprietary products and attract liquidity providers? Why did VolX decide to launch its first listed contracts on CME currency futures? What else is on the horizon for VolX? Tune in to find out. Listen to interview ...