Have Any Of You Traded Russell 2000 Volatility?

tommo said:
Which index listed options would you use to construct a synthetic RVX? That was the point of the thread. Am I missing something here? The Russell has no tradeable VIX. There’s no listed option that mirrors it like with the S&P so how would you synthetically create on specifically?
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You can’t trade the russel vix but you can trade Russell vol by trading the options in RUT as you stated in your OP.
 
LilyGrace said:
The Cboe Russell 2000 Volatility IndexSM (RVX) is a VIX-style estimate of the expected 30-day volatility of Russell 2000 Index returns. ... RVX is obtained by annualizing the interpolated value, taking its square root and expressing the result in percentage points.
https://www.cboe.com/us/indices/dashboard/rvx/

I plugged the symbol into ThinkorSwim and got a "No tradeable options" message.
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yup that’s the issue. It’s just an index. Not tradeable, like the VIX used to be but now that has options and futures. So my question was what would be the most efficient options strategy to mimic the RVX. Probably short atm straddle. But would need to delta hedge and all gets pretty complicated.
 
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