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E-Mini Crude Oil Futures Volatility Forecast (10/04/2011)

The last week we were expecting an ulterior rise of E-Mini Crude Oil futures prices and our profit target was set to be at $ 110. However, our quantitative analysis proved even more profitable because futures prices touched $ 113 on Friday.

The actual volatility is 1.48% (23.4% in annual terms) but the chart is displaying a situation which is quite steady, in terms of volatility fluctuations, and such a scenario seems stressing a probable further rise of futures prices.

Nonetheless, the rise would not be that powerful because once achieved the $115 – 115.5 area the volatility should increase and bring some sideways movements that would destabilise the price action.

The HyperVolatility team is moderately bullish on E-Mini Crude Oil futures but we believe that a retracement is on its way, hence, the more the market goes up the higher the instability. Even in this case the volatility curve is inevitably going to indicate the time to close out the long positions.

Furthermore, the tensions in Libya are still generating concerns amongst investors but extremely high oil prices could irremediably shrink the demand and we think that the OPEC will act in order to prevent this from happening. Finally, the depreciation of the US dollar acted as a catalyst in the recent rally and a short term depreciation of the Euro would drag prices down once again.

E-Mini Crude Oil Futures Volatility Forecast (03/04/2011)

The E-Mini Crude Oil futures rallied and achieved $ 108 the last Friday and the sharp rise is an evident signal that investors are extremely worried about the situation in Libya.

The last week we were bearish on this market but the low volatility fluctuations warned us against a price surge, even if the sideways movement which characterised the first half of the week was correctly forecasted by our previous analysis.

The TGARCH curve is now around 1.6% (25.3% in annual terms) and it is fluctuating within the equilibrium point. However, the upward sloping curve could not necessarily imply a potential market retracement but an ulterior attempt of bulls to push E-Mini Crude Oil futures towards the $ 110 area.

The HyperVolatility team is bullish on this market and we will place some longs as soon as the market is going to open because futures prices should achieve $ 110 by the next Friday.

However, once achieved this threshold there might be a sideways play or a short term retracement with the volatility achieving the 1.8% level (28.5% in annual terms). As a consequence, will tighten our stops or alternatively close our positions.

E-Mini Crude Oil Futures Volatility Forecast (27/03/2011)

The E-Mini Crude Oil futures moved higher as we correctly forecasted the last week and we hope you all took advantage of our successful market view since futures prices achieved $ 105.6 a barrel. A great trade indeed!!!

The volatility is now in its equilibrium range and it is approximately 1.58% (25% annualised) but even if the TGARCH plot is still downward sloping there might be a great chance for a last rise before heading south again.

The volatility should remain stable in this area in the next 2 trading days but there is a big possibility that a sudden increase towards the 2% (31.7% annualised) could push the market down.

Furthermore, the strengthening of the dollar could favour a further drop of the price that should retest the $ 100 – 101 a barrel zone.

The staff of HyperVolatility remains moderately bearish on E-Mini Crude Oil futures because it appears that a first sideways movement would be followed by a price drop.

On the other hand, the political crises and the war in Libya could change the situation in a matter of a few minutes since Libya is the 12th largest oil exporter in the world and although it decreased its extraction rate other OPEC partners, such as Saudi Arabia, Kuwait, and Qatari, are trying to even out the imbalance by pumping more oil out of their wells.

How the market is going to react to this? There is still a lot of uncertainty surrounding the oil market and the recent choppy trading sessions we had simply confirmed what we just stated.

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.

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