Aug 17, 2011

VIX Expiration

After a few months of quite markets August expiration cycle brought extreme volatility. VRO - VIX expiration value rose by 13.63 points to 32.73, and VSTOXX closed today at 35.04 up 7.39 from last month. Even though my forecasts from month ago were correct on direction, they were significantly off since I could not anticipate the magnitude of spike in both indexes. For the September expiration (Sep-21-2011) my forecasts are:

       VIX to close at 29.65 vs market's forecast of 27.80 in the futures
       VSTOXX to close at 34.16 vs market's forecast of 32.05 in the futures

For complete transparency all my forecasts are archived on forecasts tracker page.

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