Mar 21, 2013

VIX,VSTOXX Expiration and Forecasts

Yesterday all CBOE volatility products expired, and also VSTOXX on Eurex. My forecasts did will on Sim PL metric, but statistical error was worse than the market. The most challenging was VSTOXX that rose over the weekend in reaction to credit developments in Europe. I have updated volatility forecasts spreadsheet with the new values. 

For the next expiration, April 17 2013 my forecasts are:

VIX 13.18 vs 14.50 in the futures market
VSTOXX 19.40 vs 19.80
GVZ 13.92 vs 15.45
VXEEM 17.56 vs 19.50
VXEWZ 19.07 vs 21.65
OVX 20.11 vs 22.30
VXN 13.96 vs 15.65

You can find all forecasts and performance analysis in the volatility forecasts spreadsheet; expiration dates for world volatility futures and summary of settlement procedures can be found here.

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