This week's market movements were largely driven by renewed recession fears in the wake of a sharp rise in office vacancies and other signs of economic slowdown. Volatility indexes were mixed: the benchmark Canadian volatility index based on S&P TSX 60 rose by 1.87 points to 15.52, and VTA35 - benchmark volatility index for Israel fell by -2.67 points to 16.87 - maybe Passover effect?
As usual I publish 50% confidence ranges for SPX and other indexes. These ranges are based on empirical distribution, and are very different from those implied by normal distribution ( 1std/68%, etc )
Over the last week VIX futures curve rotated - a typical "tilt" movement with front months falling, and back months rising.
For the next week my model predicts VIX futures to trade slightly lower.
| Expiration Date | Settle | Total Volume | forecast | change |
|---|---|---|---|---|
| 2023-04-19 | 19.98 | 62532 | 19.8 | -0.17 |
| 2023-04-26 | 21.12 | 0 | 20.25 | -0.87 |
| 2023-05-03 | 20.35 | 0 | 20.65 | 0.3 |
| 2023-05-10 | 20.8 | 0 | 21.02 | 0.22 |
| 2023-05-17 | 21.5 | 46173 | 21.35 | -0.15 |
| 2023-06-21 | 22.74 | 12118 | 22.57 | -0.18 |
| 2023-07-19 | 23.55 | 5422 | 23.17 | -0.38 |
| 2023-08-16 | 23.81 | 3957 | 23.58 | -0.23 |
| 2023-09-20 | 24.29 | 2908 | 23.9 | -0.39 |
| 2023-10-18 | 24.4 | 1342 | 24.06 | -0.34 |
| 2023-11-15 | 24.3 | 560 | 24.17 | -0.13 |
| 2023-12-20 | 23.95 | 126 | 24.27 | 0.32 |
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