VHSI Update and Forecast

VHSI May futures expired on 30th, last week. Unfortunately I was/am very busy with launching a new strategy into production and could not update the blog on time. Also somehow I missed the futures settlement value so I am using index settlement value instead in the Volatility Forecasts Tracker spreadsheet. Over May results were good, with my model providing better forecasts than the market and almost making up for the losses in April. Charts have been updated with the latest numbers.

My forecast for next expiration is for 16.29 vs futures value 17.25 (Monday settlement value).

Weekly market report

Wall st delivered a mixed bag of news with VIX, VNKY, and VSTOXX and their underlying markets almost unchanged. VXD - volatility index based...