Feb 13, 2013

VIX, VSTOXX etc. March 2013 Forecasts

EDIT 2/18/2013: Below I stated incorrect closing value for VSTOXX. The correct value is 18.28. I will update volatility tracker spreadsheet with the correct value. Last month I made forecasts for VIX and VSTOXX indexes, and the results are in - VIX settled at 13.07 (VRO) while EuroStoxx Volatility Index closed on Wednesday at 18.37 My forecasts did not do so well from statistical perspective (vs futures: worse in points, better in %). As usual, all are logged in the forecasts tracker spreadsheet.

My forecasts for the next expiration - March 20th 2013 are listed below - now for all CBOE volatility futures. Forecasts are logged now; but futures prices will be updated later because my data provider has not updated them yet.

VIX @ 12.49 vs 14.75 in futures market
VSTOXX @ 16.43 vs 18.70
GVZ @ 13.19 vs 15.95
VXEEM @ 15.90 vs 18.70
VXEWZ @ 17.01vs 19.65
OVX @ 20.15 vs 23.00
VXN @ 13.53 vs 16.00

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