VNKY Wrap-up

Nikkei Volatility Index April futures expired on Tuesday, settling at 29.55. As I mentioned when I made the forecast, this is the first "buy signal" for the first time this year, and that the economic situation in Japan makes forecasting (actually relying on forecast) difficult. VNKY moved even higher than I forecasted. I am not a macro guy and for explanation of situation in Japan I recommend Jared Woodard's coverage on the topic - volatility in JGB futures, FXY volatility term structure, Yen-Nikkei correlation, and others.

For the next expiration for VNKY to decline very slightly - forecast at 25.26 vs futures are at 25.75. My usual disclaimer: the forecasts are generated to measure forecasting power of the model, and I suggest you do not trade volatility futures outright. All past forecasts and their results are saved at forecast tracker spreadsheet.



















Now on a separate note - Bloomberg removed data for most volatility indexes from their website, and I do not have regular access to a Bloomberg terminal. This week I was able to provide a forecast with a delay, but I am concerned that because of this my research and forecasting of many international volatility markets may become sporadic. If you have any suggestions, please send an email.

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