- VIX at 19.71 vs 19.20 in futures
- VSTOXX at 22.79 vs 22.40 in futures
Volatility forecasting contest that I announced few weeks ago is now closed. I was hoping for a better response, but I guess readers just afraid to be spammed. Still, I'm happy this way it turned out to be a close-knit group of readers. The forecasts range from 13.50 to 25.12, with average value of 18.12, and median value of 17.01. Using bootstrap I calculated the confidence of 0.70 (1 std) on the forecast, which is much much smaller than anything one would get by a statistical technique! (See the bootstrap of the forecasts below) I'm surprised that most of you emailed forecasts with cents component, as opposed to rounded to a dollar, which to me is an indirect evidence that people really put thought into their forecasts. Good luck, traders, and hedge your deltas!