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E-Mini Crude Oil Futures Volatility Forecast (21/03/2011)

Shorting E-Mini Crude Oil futures has been a great idea because the $ 99 a barrel area was passed and the market found around $ 97.3 a barrel. However, the increased fear for the military intervention against Libya immediately changed the situation and E-Mini futures prices got back to $ 101.7 by the last Friday.

The current volatility is now 2.2% (34% annualised) and the TGARCH plot is evidently displaying a downward sloping curve which should accompany a further surge of E-Mini Crude Oil futures toward the $ 102.5 – 103 a barrel.

On the other hand, the up move should not be extremely powerful and therefore we believe that a sideways week could be the most likely scenario, breaking news permitting.

The staff of HyperVolatility will place some longs but with extremely strict stops because a narrow trading range could easily destroy all the returns that are going to be accrued.

E-Mini Crude Oil Futures Volatility Forecast (14/03/2011)

The E-Mini Crude Oil futures after reaching $ 104 a barrel retraced towards the $ 101 by the last Friday making the entire week a bearish one. Oil mini futures sharply rallied from the $ 87 – 90 to the $ 101 but it seems that, at least at the moment, the up move is running out of steam.

The actual volatility is 1.8% (28.5% in annual terms) and the TGARCH curve is clearly still upward sloping highlighting that futures prices could continue heading south even during the upcoming days.

Furthermore, a potential appreciation of the US dollar caused by concerns related to the performance on equity Indices could easily drive the dollar up (appreciating it) and oil prices down.

The staff of HyperVolatility will look for short opportunities over the next trading days because the volatility is likely to increase and should achieve 2.1% – 2.2% (33% – 34% annualised) dragging the price back down in the $ 100  area.

Nevertheless, the crude oil market is probably one of the most delicate to trade because the problems in Libya and the collapse of Japanese oil demand is going to affect strongly futures prices. In fact, the predominance of one of the above mentioned news would lead to 2 different results:

1)    Riots in Libya tend to increase oil prices

2)    Japan’s earthquake is going to drive prices down

We believe that the news from Japan are going to influence every markets and this week will be particularly intense in terms of market swings, hence, we remain bearish on E-Mini Crude Oil futures because the $ 99 – 100 area could be re-tested by the end of the week.

E-Mini Crude Oil Futures Volatility Forecast (27/02/2011)

The last Monday the market opened at $ 95 with a $ 6 gap up from Friday’s closing price (18/02/2011) at $ 89.92.1: an unbelievable, and practically impossible to forecast, jump.

The actual volatility is 2.09% (33.3% in annual terms) but the plot displays a clearly downward sloping curve signalling that the variance is about to get back to its equilibrium point which is set to be around 1.5% (23.8% annualised).

As a consequence, the decreasing rate of market fluctuations should favour a further boost of E-Mini Crude Oil futures prices which could now achieve the $ 99 and perhaps “attack” the $ 100 a barrel by the end of the next week.

The staff of HyperVolatility is bullish on this market and we will place some longs as soon as the market opens since the continuing downtrend of the US dollar should help to push oil prices even higher.

E-Mini Crude Oil Futures Volatility Forecast (20/02/2011)

The huge gap up we saw on Friday was as sharp as unexpected. The price jumped to $ 89.9 a barrel in a matter of a few hours and the volatility plot displays a quite turbulent curve.

The current volatility is around 1.6% (25% annualised) but it seems that the next trading days are going to experience higher market fluctuations since the TGARCH plot is now showing an upward sloping curve.

Furthermore, it is worth mentioning that the recent depreciation of the dollar against the euro acted as a catalyst and therefore “helped” the recovery of E-Mini Crude Oil futures.

However, the solid resistance placed at $ 90 is probably going to “reject” the price once again and therefore the staff of HyperVolatility will look for short opportunities since the volatility should rise again bringing the price back down in the $ 87-88 a barrel. The previously mentioned movements could get more extreme during the announcement of Initial Job Claims and US Gross Domestic Product data.

E-Mini Crude Oil Futures Volatility Forecast (13/02/2011)

The heavy drop experienced by E-Mini Crude Oil futures surprised our staff since we were expecting a more stable volatility curve. Specifically, the TGARCH plot achieved 1.98% (31.4% annualised) bringing down the price in the $ 85 a barrel area.

Furthermore, the current volatility is around 1.4% (22% in annual terms) and given the great turbulence of the recent movements of the curve it is likely that the market fluctuations will explode in the short term.

In the reality, the drop of E-Mini Crude Oil futures prices has been “helped” by an appreciation of the US dollar against the euro but this was not the only reason which brought investors to sell their positions.

The staff of HyperVolatility is therefore bearish on this market. We will be looking for short opportunities since a surge of volatility in the 1.9% area (30.1% in annual terms) could easily push the price down in the $ 84.5 zone.

E-Mini Crude Oil Futures Volatility Forecast (06/02/2011)

The E-Mini Crude Oil futures prices plummeted to $ 89 a barrel over the last week and such a drop confirmed our forecasts. However, the volatility curve decreased as well highlighting an anomaly that could change the scenario during the next trading days.

The actual TGARCH curve is around 1.4% (22.2% annualised) and since this has been the equilibrium point over the last 5 months it is reasonable to believe that the down movement, at least in the short term, is now over. In fact, if we look at past volatility spikes it is evident that, once achieved the 1.4% level, the rate fluctuated for a while in that area before jumping back up again.

On the other hand, some adjustments due to a temporary augment of market fluctuations could sensibly change the situation.

The staff of HyperVolatility advises you to place some longs since the price could easily achieve the $ 91 a barrel by the end of the next week.

E-Mini Crude Oil Futures Volatility Forecast (01/02/2011)

The $ 89 a barrel target has been hit as successfully forecasted the last week and the sideways movement that we anticipated effectively occurred.

The volatility plot is once again upward sloping and since the 2.3% (36.5% annualised) level has been broken we are expecting a further augment in market fluctuations with readings around 2.4% – 2.5% (38% – 39.6% annualised).

The $ 90 a barrel turned out to be a harder than expected resistance level and it is reasonable to believe that E-Mini Crude Oil futures are going to head south over the upcoming days.

The staff of HyperVolatility is bearish on this market and suggests you to close out your long positions, if you still have any on, and focus on the short side because a significant drop would not be a remote eventuality.

E-Mini Crude Oil Futures Volatility Forecast (23/01/2011)

The last week we predicted a drop of the price in the $ 89 a barrel accompanied by a rise in volatility which was thought to reach the 1.6% (25.3% annualised) and we are proud to say that the staff of HyperVolatility was right again.

The actual volatility plot seems to suggest a further boost of the market fluctuations rate but if we look at the previous months’ estimations it is not difficult to realise that the 2.1% (33.3% annualised) level is quite high.

However, it is likely for the volatility to drop slightly in the short term and such a phenomenon could either maintain the price in the actual area or promote a further rally to the $ 90 a barrel.

The staff of HyperVolatility is moderately bullish on the E-Mini Crude Oil futures although a sideways movement could be likely to occur over the next days with prices trading in a range between the $ 89 – 91.5 a barrel.

E-Mini Crude Oil Futures Volatility Forecast (17/01/2011)

The E-Mini Crude Oil futures market is going through a crucial period because the breaking of $ 90 is a solid psychological point. The current market volatility is 1.5% (23.8% annualised) and the last part of the curve seems suggesting a potential future augment over the next trading days.

Specifically, crude oil prices could be pushed down in the $ 88 – $ 89 area and the volatility should rise to 1.6% (25.3% in annual terms) by the end of the week. On the other hand, the great importance that the performance of the dollar has on this market could shift things around and therefore caution is needed when placing trades.

The staff of HyperVolatility is bearish in the very short term and advises you to look for short opportunities even if the next weeks will prove decisive in determining the medium term trend of the market. Probably, an intra-day trading could be the best strategy to adopt during this week.

E-Mini Crude Oil Futures Volatility Forecast (19/12/2010)

The E-Mini Crude Oil prices are trading almost sideways and our previous week’s forecasts managed to anticipate such a phenomenon.

The volatility is now back to 1.6% (25% annualised) and the great reliability of this level over the last 5 months seems suggesting that, although some short-term retracements could still happen, the price should break through the $ 90 a barrel in the mid-term.

The sideways movement around the $ 89 – $ 90 area and the increase in volatility due to short-term drops have been successfully forecasted by the staff of HyperVolatility over the last 3 weeks. Furthermore, the volatility reverted to its mean value in a fairly short period of time and this is a clear signal that investors are still bullish and not willing to get rid of their longs despite the price keeps hitting a strong resistance level.

The staff of HyperVolatility is still bullish on E-Mini Crude Oil futures. Particularly, the continued sideways movements just below the $ 90 area look like an accumulation strategy and the fairly low and stable volatility is backing such a hypothesis.

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