Nikkei Volatility Index has been in the uptrend over the last few months while the rest of the world volatility indexes have been in the decline. As I hear the increased volatility worked well for quant-funds trading Japanese equities, but it is a risky currency environment given the rise of USDJPY volatility (although USDJPY skew has declined from its highs.
This is my first forecast for VNKY - to expire at 25.07 vs futures price 24.40 . Currently this is the only forecast for a volatility index to rise - if you look at the chart there is significant upside potential for the index. With VNKY closing at 25.13 I calculate there is 14% chance that it will expire higher that 30.00 .As always, all forecasts are logged at forecasts tracker spreasheet.
This is my first forecast for VNKY - to expire at 25.07 vs futures price 24.40 . Currently this is the only forecast for a volatility index to rise - if you look at the chart there is significant upside potential for the index. With VNKY closing at 25.13 I calculate there is 14% chance that it will expire higher that 30.00 .As always, all forecasts are logged at forecasts tracker spreasheet.
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