This Real Estate Sector Implied Volatility Index (VIX) is constructed by Dr. Dongshin Kim, Dr. Clemens Kownatzki, and Dr. Abraham Park. A related paper, “REIT Sector Implied Volatility Index: Liquidity and Information of Option Trading” can be found at https://doi.org/10.1080/10835547.2023.2179963.
Options data provided by tastylive (www.tastylive.com) and Dr. Michael Rechenthin.
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Sector RVIX methodology
Real estate sector implied volatility indexes (VIXs) are the weighted average of individual firm’s VIX by sector by daily market capitalization. The list of REITs in each sector is collected from https://www.reit.com/investing/reit-directory.