May 24, 2013

VIX, VSTOXX June 2013 Forecasts

Yesterday all CBOE and Eurex volatility indexes settled - so forecasting results are in, and as always all the forecasts and results are logged in the Volatility Forecasts spreadsheet . The signals were all correct except for GVZ - Gold Volatility Index, which rallied on gold's quite unexpected decline.

The technical issues with data solved, and I have forecasts for all CBOE indexes.The forecasts are as follows:
VIX  13.47 vs 15.30 in the market
VSTOXX 17.50 vs 19.55
GVZ 23.63 vs 23.65  <- only 0.02 difference between market and forecast
VXEEM 18.77 vs 20.05
VXEWZ 19.39 vs 21.80
OVX 22.48 vs 24.75
VXN 14.55 vs 16.25

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