Jan 20, 2011

VIX Expiration

Yesterday VIX expired at 16.38, down 2.49 from previous expiration. My prediction made on Dec-26 was for 17.66, when the front-month futures traded at 19.80.

For the next month I forecast a higher VIX, at 18.42 vs 18.80 in the Feb futures, and somewhat flatter term structure.

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