Weekly market update: volatility indexes and futures

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. 

I am still working on incorporating seasonality into the model (nov,dec futures), better formatting for the table, and also something to recommend specific calendar spread trades - not only by the expected change, but also by risk.

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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