SOURCE: Russell Investments

Russell Investments

October 21, 2015 09:49 ET

US Small Caps Having a Relaxed October: Small Caps Experiencing Unusually Calm Month as Measured by the CBOE Russell 2000® Volatility Index(SM) (RVX(SM))

SEATTLE, WA--(Marketwired - Oct 21, 2015) - With the surge in US equity market volatility in mid-August and a history of equity market tension during September and October due to events such as the October 1987 "Black Monday" crash and, more recently, the Lehman Brothers collapse, many investors tend to anticipate heightened small-cap equity volatility in October.

Yet small-cap market volatility measures have told a different story this October to-date. As of October 16, the average closing price for the CBOE Russell 2000 Volatility Index (RVX) is 20.74, well below its long-term average closing price of 25 and significantly below the long-term average closing price in October of 29.

Russell Rhoads CFA, Director at The Options Institute at CBOE, said:
"We are in an unusually calm period for US small-cap volatility. In addition to the current RVX level being low relative to the long term history of the Index, low volatility in October is anything but the norm. In fact when considering the monthly average close, October has the highest average close for RVX. The chart shows the average closing level by month for RVX from 2004 through 2014. October stands out with an average of 29.08 and November comes in No. 2 at 28.43."

Patrick Fay, global head of derivatives for FTSE Russell, said:
"Examining small-cap volatility indexes is important to gaining better perspective on US equity market volatility. The CBOE Russell 2000 Volatility Index, or RVX, provides market participants with a valuable tool for assessing US small-cap equity market dynamics."

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