Mar 7, 2013

RTSVX April 2013 Forecast

RTSVX - Russian Volatility Index closed on Thursday at 20.31. The value was significantly closer to my forecast of 18.97 than to 25.85 - the futures value at the time of forecast, and also my forecast was correct on the direction capturing a healthy difference of 5.54. However my recent analysis shows that RTSVX is one of the more volatile indexes and one of least predictable, and I am curious how accurate the forecasts will turn out for the rest of the year.

My forecast for the April expiration for RTSVX to close at 20.00 vs futures value of 25.60. The model is still bearish on volatility throughout the world, but I certainly advise against outright trades. As usual all forecasts are tracked monthly at forecasts tracker spreasheet.
 


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