Aug 19, 2010

VIX Expiration

$VRO settled at 24.82, only 2 cents away from my last-month forecast of 24.80, here. Although I wish I could attribute such amazing accuracy to my forecasting skills, luck has played a significant factor. My forecast for September is 24.97 with standard deviation of 5.45, vs market's forecast of 29.44 with standard deviation of 7.45. I have a lot of concern regarding skew trades into Sep, and especially Oct expirations, so plan to proceed more cautiously. Good luck traders, and hedge your deltas!

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