This afternoon was the expiration of March VHSI futures. It was an exciting action in the market as in the last half-hour of trading (which average to VHSI settlement value) index rose from 14.87 to 15.26 and tumbled down to close at 14.69.
The official settlement value from the exchange is available at day's lag, but according to my calculation should be 15.04, making it almost in between the market's futures level a month ago and my forecast, although I was correct on direction.
For the next expiration, my forecast is 14.82 vs futures value of 16.10 (mid). All forecasts are logged in volatility forecasts spreadsheet. Expiration dates for VHSI and other volatility indexes, as well as their settlement procedures are here.
For the next expiration, my forecast is 14.82 vs futures value of 16.10 (mid). All forecasts are logged in volatility forecasts spreadsheet. Expiration dates for VHSI and other volatility indexes, as well as their settlement procedures are here.
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