Keep in mind these forecasts are based on 25 year lookbacks and a lot's happened in the markets over that time. Those who watch the markets in real time on a daily basis know how the HFTs totally controlled the ebb and flow of price. This is particularly evident on high volume days like Monday where we saw quarter percent reversals on 2 minute bars, which were then reversed within the next 3 bars. Yes. the VIX is in the 20s but that kind of action in the big ETFs like SPY. QQQ and IWM is all HFT driven and the trick is to avoid the collateral damage of the whipsaws.
It's interesting that the standard deviation of the VIX is about 4 based on a price of 20, whereas the SD of SPY is 6 based on a price of 205. Let's hope we don't realize that VIX yellow line forecast (or the SPY yellow line).
