$VRO printed at 22.97 - vs my forecast of 24.97, and market forecast of 29.44, here. September was a tricky month to trade - the swings in the beginning of the month, and rapid decline of VIX/VIX Futures made for a lot of excitement, but I had my best month in terms of PL. My forecast for October expiration (in 34 calendar days) is 22.62 with standard deviation of 5.18. Market forecast this morning is 25.55 with std of 6.19. I'm still trying to figure out my game plan for October - the sweet spot is at 25, significantly above my forecast, but about on par with the futures. On the other hand if volatility picks up (and there's plenty of time and fundamental weakness for it to do so) 25 VIX may seem low.
There was some interesting action on Tuesday in Binary VIX Options: Sep 20 Puts were (suddenly?) bid up. I saw bid at 0.07, to 0.10 200 contracts, which is big for binaries. VIX made a brief dip below 20 that day, but given there were just few hours to go these options seemed hugely expensive. VIX closed at 21.56 and puts close at 0.05 bid. My boss said that perhaps someone was taking profit, as there was 200+ open interest on the puts, however I don't think that was the case. I don't have historical data for options, however knowing VIX history I am pretty sure that that was the highest price for the contract.