June futures and options are set to expire tomorrow at the open, but the million dollar question is where will July futures expire. Of course no one knows the answer - there are 35 trading days until July expiration, and anything can happen. However, judging from market data traders think that VIX will be at 28.50 +/- 7.56. I (respectfully) disagree. Over the weekend I started working on a technical forecasting model for the VIX. The model uses power transform to normalize VIX history, and AR-type model that I successfully use for forecasting equity options. I bootstrap over models and use residuals for Monte-Carlo estimate of expected VIX values.
I'm still ironing out the kinks, so I won't be putting on any trades at this time, but the forecasts are here - I expect the VIX to expire at 26.58 +/- 5.86. The plot is a histogram of expected values.