Mar 25, 2011

Gold VIX (GVZ) Futures, Part 2

Gold VIX futures are set to start trading today. Although afaik there is no lead market maker for the product, and I expect the markets will be wide, and probably no trades will be made, I really hope that the product will be a success.

Here is my attempt to forecast where GVZ futures may open - in the first model I normalized historical prices of GVZ and VIX over the same period, and applied current VIX futures premium over historical price to the GVZ. The second model I did the same to yesterday closing prices of GVZ and VIX.

Symbol Model1 Model2
GV K1 19.70 20.60
GV M1 20.50 21.43
GV N1 21.05 22.00
GV Q1 21.40 22.30
GV U1 22.00 22.95

These forecasts are very simplistic, but may be a reasonable indication of where the futures will open. Unfortunately it looks like my software platform does not have GV futures enabled ...

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