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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