I am super-excited to announce the winner of volatility forecasting contest. VRO printed out this morning at 19.10, making reader Vamsi the winner of $100 prize (forecast 18.44 was closest with difference of 0.66 = |18.44-19.10| I will hopefully be able to get their perspective on VIX forecast. Meanwhile I should note that my own forecast of 19.71 came only 0.61 away. You can follow my monthly volatility forecasts here.
UPDATE: Vamsi described his personal trading in a private email:
I have been trading VIX related products pretty much from the time VIX futures were introduced. My trading style is Global Macro. My main strategy is to run a short vol book with hedges from commodity, forex and interest rate markets, wherever I see relative value. The key is risk management. The gains take care of themselves.
I don’t forecast VIX levels and trade off these levels. My entry was just where VIX probably closed for the day. I entered the context because I love free options and one of them ended in the money today!
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