SOURCE: Russell Investments

Russell Investments

November 03, 2015 09:00 ET

US Small Caps in November & December: FTSE Russell & CBOE Examine Market Volatility as Measured by the CBOE Russell 2000® Volatility Index(SM) (RVX(SM))

SEATTLE, WA--(Marketwired - Nov 3, 2015) - With October now in the rear-view mirror and market participants setting their sights on the rest of the year, FTSE Russell and the CBOE examined US small cap equity market volatility in 2015 and historically, through the lens of the CBOE Russell 2000® Volatility Index(SM) (RVX(SM)).

Monthly analysis indicates that, while October has traditionally been the most volatile month for US small cap stocks in terms of implied volatility, November has actually had the second highest level of US small cap volatility. And December has had the fifth highest level of volatility for US small cap stocks.

Annual analysis indicates that, while we remain in a historical period of lower relative volatility in US small cap stocks, the first nine months of 2015 have suggested that the trend may be changing.

Russell Rhoads CFA, Director at The Options Institute at CBOE, said:
"Based on history, US market volatility does not necessarily calm down the day after Halloween. And, while we are still in the midst of what many traders like to call a 'low volatility regime,' the increasing market angst fueled by Fed policy questions and other factors appears to be driving a possible regime change."

Patrick Fay, Global Head of Derivatives for FTSE Russell, said:
"Examining small-cap volatility indexes is important to gain 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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