“Over last 23 years S&P 500 has risen by average of 3.3 % and VIX declined by 10 % from last day of October through year-end – during the 11 trading days of November market is up 2.4 % while VIX is down 11 %. This analysis would tell us that the VIX may have already traded much of its typical seasonal decline, which leaves less room for error in 2013. We expect the VIX to break through its post crisis low of 11.3 before year-end. Our S&P 500 realized volatility model and year-end seasonals both point to single digit levels of realized volatility over the last two months of 2013. S&P 500 1m realized volatility is currently 9.2 and the VIX is 12.2.” (Goldman Sachs)

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