Oct 20, 2011

Expiration Analysis and VIX Forecasts

In the month since last expiration volatility indexes moved in a broad range, but finishing relatively unchanged. VIX index trades as low 28.24 and as high as 45.45, while VSTOXX traded from 34.94 to 50.44. The forecasts that I made last expiration - for VIX to close lower and VSTOXX to finish higher - we half correct: VIX expired at 33.15 (vs 35.70 in futures) but VSTOXX closed on Wednesday at 39.89 (vs 40.70 in the futures). All the forecasts are stored separately on Forecasts Tracker page. I will be updating PL chart in the next day or two.

My forecast for November VIX to close at 36.10 vs 34.05 in the futures market (Thursday close)
My forecast for November VSTOXX to close at 42.76 vs 40.50 in the futures market (Thursday close)




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