Dec 22, 2011

Expiration Analysis

VIX and VSTOXX finished at their lowest levels in months: VRO - VIX expiration value for December is 21.36, and VSTOXX Index closed Wednesday session at 30.26. Both numbers are siginificatly lower than the forecasts that I made last month, as the markets reacted to a number of good news items from Europe, and possibly end of year seasonality. My direction forecast for VIX was correct, while VSTOXX was not. This unfortunately seems to be the pattern lately - my VIX forecasts are more accurate on the direction than VSTOXX, especially when direction signals disagree.

My forecast for next expiration is for VIX to close at 23.10 vs 24.50 in the futures, and VSTOXX to close at 30.48 vs 32.25 in the futures. Futures prices are Wednesday settlement prices. As before all the forecasts are saved in forecasts tracker page.

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