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.

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.

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