May 18, 2011

VIX Expiration

VIX setteled this morning surprisingly high, at 18.02, up 3.16 since previous expiration. This value was higher than 16.51 I forecasted a month ago. VSTOXX closed at 22.36, also higher than my forecast of 20.60. It seems that short-term options premiums have collapsed too much, and market corrected up to the current levels. My forecasts for the next VIX expiration, June 15th, 2011 are
  • VIX at 18.83 vs 18.70 in futures
  • VSTOXX at 23.63 vs 23.75 in futures


This is the first expiration for GVZ at 18.79. The volume remains very light - May futures had total volume of 31 and open interest of 24 contracts. Open interest in May options is 35 contracts. I will not be forecasting GVZ this time.

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