Nikkei Volatility Index April 2013 Forecast

Nikkei Volatility Index has been in the uptrend over the last few months while the rest of the world volatility indexes have been in the decline. As I hear the increased volatility worked well for quant-funds trading Japanese equities, but it is a risky currency environment given the rise of USDJPY volatility (although USDJPY skew has declined from its highs.























This is my first forecast for VNKY - to expire at 25.07 vs futures price 24.40 . Currently this is the only forecast for a volatility index to rise - if you look at the chart there is significant upside potential for the index. With VNKY closing at 25.13 I calculate there is 14% chance that it will expire higher that 30.00 .As always, all forecasts are logged at forecasts tracker spreasheet.


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