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.

E-Mini Crude Oil Futures Volatility Forecast (13/12/2010)

As we correctly forecasted the last week the E-Mini Crude Oil futures did not mange to go through the $ 90 barrier. Furthermore, we warned against a rise in volatility in proximity of this price and the last part of the TGARCH plot is visibly showing an augment in the conditional standard deviation demonstrating that our forecast was quite accurate.

The actual volatility is 1.6% (25.3% annualised) and the estimation should rise until 1.8% (28.5% annualised) because the downtrend should continue in the short run bringing down the price towards the $ 80 a barrel.

However, the drop in price should be temporary because as we approach the end of the year the E-Mini Crude Oil futures are more likely to stabilise and trade sideways. Nevertheless, crude oil prices could keep on rising and break through the $ 90 level if the dollar depreciates against the euro because, at the moment, is the only factor which could seriously drive prices up or down.

E-Mini Crude Oil Futures Volatility Forecast (05/12/2010)

The E-Mini Crude Oil futures has been really volatile lately and the TGARCH plot highlights very well the great fluctuations that this market experienced.

The price is now around $ 89 and historically speaking the $ 90 threshold has been a very strong resistance. The volatility plot displays a great drop to the 1.5% area (23%annualised) but the very last part of the chart seems to suggest an ulterior rise which could bring back the curve to 2% (31% annualised).

The increase in price of E-Mini Crude Oil futures was artificially created by a short-term recovery of the euro against the dollar. The question arising is obvious: is the Euro going to appreciate against the Dollar?

The staff of HyperVolatility advises you to watch the $ 90 level because an increase in volatility and a failure to break out this resistance would bring the price back down to $ 80.

E-Mini Crude Oil Futures Volatility Forecast (28/11/2010)

The E-Mini Futures market is going through a period of great uncertainty because the dollar has been subject to great swings. The actual volatility is around 1.8% (28.5 annualised) and it seems not to signal any particular direction. However, the appreciation of the dollar could drive the market down quite easily since all the attempts to push prices higher failed.

Furthermore, many companies have stored almost all the oil they needed and this is another important factor that should be taken into account because the demand could suddenly diminish and the price would be inevitably affected by this.

The staff of HyperVolatility is still bearish on this market even if the probability of a sideways movement this week is not completely to exclude.

Should the market keep going down we would easily have volatility readings around 2.2% (34% annualised) and should that be the case the price should plummet to $ 75 – $ 78 area.

E-Mini Crude Oil Futures Volatility Forecast (22/11/2010)

The volatility in the Crude Oil market is moderately high but we still think that readings of 1.5% (23% annualised) are still too low for such a market.

Furthermore, crude oil prices should lower because of the seasonality effect that every year drives oil futures down during the last stage of the year.

On the other hand, an ulterior weakening of the dollar caused by the currency war could maintain prices around $ 83 – $ 84 a barrel but the staff of HyperVolatility is still firmly bearish and therefore advise you to prefer the short side of this market and sell back your longs.

E-Mini Crude Oil Futures Volatility Forecast (13/11/2010)

The drop experienced by this market seemed to have awakened some investors from their dreams. We stated the crude oil was about to retrace 2 weeks ago and we think it will continue because of 3 reasons:

1) Many companies already bought all the oil they needed and their stocks are now almost full

2) The volatility was too low and an adjustment was “needed”

3) The seasonality patter of the crude oil has been delayed by the Fed announcement which caused the dollar to appreciate pushing further up crude prices

We believe the price will go even further down because the volatility could potentially achieve values around 2% -2.5 % (30% -35% annualised). However, if the equity markets keep going down many investors will start buying dollars and this event could maintain the price around $ 84 a barrel.

E-Mini Crude Oil Futures Volatility Forecast (07/11/2010)

The higher prices experienced by the crude oil are obviously driven by the performance that the US dollar registered lately.

Seasonally speaking the crude oil should decline rather than going up but, apparently, we are still in an uncertain situation. The staff of HyperVolatility remains bearish on Crude Oil for 3 resasons:

1) The rally which brought the Crude to $ 87 does not have the necessary fundamentals to justify such a price and it was obviously caused by the QE2 announcement which “manipulated” the value of the dollar

2) The last rally comes after a sideways movement of the market signalling that the last uptrend is the result of external forces

3) Volatility is increasing and so will do in the upcoming week  because it kept dropping since June. In fact, we went from readings around 28% to 11% in a fairly short period of time and it is reasonable to believe that an “adjustment is needed”

The staff of HyperVolatility remains bearish on the crude oil and therefore suggests to watch out your long positions.

E-Mini Crude Oil Futures Volatility Forecast (31/10/2010)

The last week we highlighted the great reliability that the seasonality chart has when it comes to crude oil and so far the price continued to replicate the same patterns showed over the last 30 years. In fact, according to the seasonal chart the crude oil price is expected to raise until the end of October  and then collapse and the volatility chart is confirming such a pattern.

The TGARCH volatility plot does not display anymore a downward sloping curve and it is clearly visible that the up move is now losing strength and the current sideways trading is more probably a reversal sign rather than an accumulation period. In addition, if we include an extremely lower volatility level to our seasonal forecast it is not surprising to see a scenario which is statistically more oriented towards a price drop which could take the E-Mini Crude Oil Futures around $ 70 a barrel.

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