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VIX Index Volatility Forecast (06/02/2011)

The advise we gave you to short VIX futures was again extremely profitable since the Index dropped quite significantly and precisely from 19.53% to 15.93% and the TGARCH plot clearly show you the augment in volatility which accompanied the plunge of the VIX.

The current volatility of the VIX is 8.2% (130% annualised) but it is clearly declining since the top was achieved at 10% (158% in annual terms) a few days ago. Consequently, a decrease in volatility implies, at least for this market, that the fluctuations of the VIX will be more constrained and limited in terms of magnitude.

The staff of HyperVolatility is moderately bearish and therefore advises you to short some VIX futures because the volatility should drop, although sensibly, over the next trading days and probably bottom around 13% – 14%.

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