Moscow Exchange to Publish New Russian Market Volatility Indicator

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The exchange says in a statement that the gauge, dubbed RVI Index, is calculated based on two options series on the exchange's RTS Index futures─the nearest and following quarterly or monthly series, including those with more than seven days to expiration. It also includes quotes for the underlying futures.

The index is calculated every 15 minutes during the derivatives market's main and evening trading sessions. Should quotes and trades become unavailable, the index will be calculated using a t

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