I used to make monthly forecasts (expiration to expiration) for VIX and VSTOXX levels, but stopped last year as I did not have enough free time. All forecasts were recorded on the blog, and on Forecasts Tracker page. Now I am planning to resume the feature and also add other tradable indexes to forecasts.
My forecast for VIX to settle at 14.09 on February expiration vs futures at 15.95, and VSTOXX to settle at 15.83 vs futures at 17.95 (VSTOXX Expiration is on Feb 13th).
My forecast for VIX to settle at 14.09 on February expiration vs futures at 15.95, and VSTOXX to settle at 15.83 vs futures at 17.95 (VSTOXX Expiration is on Feb 13th).
Why that difference between the settlement price of the vix futures and the vix?
ReplyDeleteVIX is an index, futures are futures - different things, different prices.
ReplyDeleteHow are the forecasts made are you fitting some historical distribution fits ? Do you adjust for seasonality?
ReplyDelete