Jul 20, 2011

Volatility Forecasts

Month over month VIX was almost unchanged, falling from 19.73 to 19.10, while VSTOXX rose from 23.06 to 27.65 underlying high uncertainty about economic situation in the Euroblock. My forecast for the VSTOXX to rise was spot-on, although the index rose much higher than I anticipated. VIX was lower than I thought, but the forecast I provided last month was only 0.61 cents away from VRO.

For the next month I predict VIX to close at 20.45 vs 19.35 in futures, and VSTOXX to close at 27.96 vs 26.45 in futures. As before you can follow my forecasts on the forecast tracker page.




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