Categories

Archives

VIX Index Volatility Forecast (27/03/2011)

We were bearish on the VIX Index and our forecasts proved accurate and, most importantly, profitable once again. In fact, the VIX Index opened at 20.61%, dropped sharply during the week and closed at 17.91%.

The actual volatility is around 7.7% (26.6% monthly) ,exactly like the VXN Index, and even in this case the TGARCH plot is showing a mean reverting process which will possibly run out of steam once the conditional variance will have touched the 4% – 4.5% (13.8% – 15.5% monthly).

The VIX should decrease over the next trading days and the 15% – 15.5% area should be achieved by the next Friday even if unexpected news regarding the war in Libya and the situation in Japan could make the index rally back up to 20% -21%.

The staff of HyperVolatility remains bearish on the VIX Index and we will probably sell implied volatility and go long S&P500 futures in order to take advantage of our analysis. However, should this scenario not happen we will step aside and monitor the volatility all week long waiting for the next opportunity.

Leave a Reply

Your email address will not be published. Required fields are marked *

Go back to top