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E-Mini Nasdaq Futures Volatility Forecast (05/10/2011)

E-Mini Nasdaq futures opened at 2,227 on Monday, touched 2,254 on Tuesday, dropped to 2,220 on Wednesday, settled around 2,192 on Thursday and closed at 2,123 on Friday.

The current volatility is 1.7% (26.9% annualised) and the TGARCH plot is now showing an upward sloping curve which is suggesting that further market swings could be expected in the upcoming days. However, this level has been hardly violated in the past and it is reasonable to guess that a retracement of the volatility curve will occur.

The HyperVolatility team is moderately bullish E-Mini Nasdaq futures because the conditional variance should plunge and favour a recovery of the price action which could eventually retest the 2,300 threshold by Friday.

 

E-Mini Nasdaq Futures Volatility Forecast (27/09/2011)

E-Mini Nasdaq futures opened at 2,300 on Monday, closed at 2,296 on Tuesday, dropped to 2,246 on Wednesday, plunged to 2,179 on Thursday and settled to 2,203 on Friday.

The current volatility is 1.9% (30.1% annualised) and the TGARCH chart is evidently displaying an upward sloping curve which seems to suggest an increase in the conditional variance over the next trading days. Nevertheless, the sharp explosion of the oscillation rate has now touched a critical level which has been violated only once in the last 5 months.

The probability of the volatility to keep rising is fairly low unless another sell-off day is going to occur in the next days. As mentioned in previous analysis most of the attention will be focused on speculative buying in the hope the European Union will manage to respond firmly to market concerns.

The HyperVolatility team is moderately bullish E-Mini Nasdaq futures which are likely to retest the 2,300 – 2,350 threshold before Friday whilst the oscillation rate should soften and bring some relief to investors.

E-Mini Nasdaq Futures Volatility Forecast (19/09/2011)

E-Mini Nasdaq futures opened at 2,196 on Monday, jumped to 2,220 on Tuesday, rose to 2,250 on Wednesday, achieved 2,291 on Thursday and closed at the same price on Friday.

The current volatility is 1.3% (20.6% annualised) and the TGARCH plot is clearly displaying a downward sloping curve which implies that the upcoming days could see a diminished rate of volatility and welcome a recovery of the price action. However, this level proved to be a strong support level in the past and a failure to break through the 1.1% – 1.2% area (17.4% – 19% in annual terms) would probably signal that the volatility could keep going up and eventually retest the 2% area (31.74% annualised).

The HyperVolatility team is moderately bullish E-Mini Nasdaq futures because the decrease in the conditional variance should keep the price action up. Specifically, there is a chance that the 2,350 – 2,370 area get retested before the end of the week but the movement is likely to be very weak and choppy.

The fact that the volatility is diminishing does not mean that short term retracement of futures prices are to exclude. The nervousness amongst investors is palpable and any negative news could change the direction of this fragile market.

Needless to say that the FOMC statement is going to play a key role this week and it is definitely worth watching.

E-Mini Nasdaq Futures Volatility Forecast (06/09/2011)

E-Mini Nasdaq futures opened at 2,220 on Monday, touched 2,226 on Tuesday, rose to 2,246 on Wednesday, plummeted to 2,218 on Thursday and closed at 2,165 on Friday.

The actual volatility is 1.5% (23.8% annualised) and the TGARCH plot is now displaying a slightly upward sloping curve which should keep its upward trend over the next trading hours. The conditional variance, having found support around the 1.5% threshold, seems now ready to bounce back up again and eventually retest the 2% level (31.7% in annual terms) by Friday.

The HyperVolatility team is bearish E-Mini Nasdaq futures because a further increase in the conditional variance is quite likely to occur over the next trading hours.

The price action is likely to retest the 2,100 level by Friday and the fact that the VXN Index will experience an upward moves make this forecast even more reliable.

Maximum attention will be needed on Thursday because, as previously mentioned, Obama’s speech can radically change the overall market sentiment in a matter of a few hours.

E-Mini Nasdaq Futures Volatility Forecast (30/08/2011)

E-Mini Nasdaq futures opened at 2.047 on Monday, rose to 2,123 on Tuesday, touched 2,139 on Wednesday, dropped back to 2,111 on Thursday and closed at 2,165 on Friday.

The actual volatility is 2% (31.7% annualised) and the TGARCH plot is showing a slightly upward sloping curve which would normally imply an increase in market fluctuations. The price action has been significantly affected by Bernanke’s speech and many traders either adjusted their positions or closed their existing ones before the conference causing a sensible augment in the oscillation rate.

However, the chart is still displaying a mean reverting process which has not completed its journey towards the long term equilibrium point but that is likely to do so in the upcoming hours.

The HyperVolatility team is bullish E-Mini Nasdaq futures because the volatility should soften over the next trading hours favouring a recovery of the price action which should eventually retest the 2,250 points by Friday.

Needless to say that the macroeconomics news that are going to be released will have a massive impact on the price action and some negative figure could drag futures prices back down into the 2,100 area.

E-Mini Nasdaq Futures Volatility Forecast (22/08/2011)

The market jumped up at the open and the price action remained at a fairly high level before Germany and France prime ministers decided to destroy what it was left of investors’ confidence whilst US manufacturing data made sure to scare away all buyers left on this planet.

E-Mini Nasdaq futures opened at 2,203 on Monday, touched 2,199 on Tuesday, dropped to 2,176 on Wednesday, kept plummeting on Thursday where it touched 2,084 and closed at 2,042 on Friday.

The current volatility is around 3% (47.6% annualised) and the TGARCH plot, even in this case, is showing a sharp augment in the conditional variance which seems it will increase, given the slope of the curve, over the next trading days. The chart is obviously displaying an extremely high level of market fluctuations and the fact that the impact of the mean reverting process has been so weak is a very important warning signal which should not be ignored.

The HyperVolatility team is bearish E-Mini Nasdaq futures because the conditional variance is likely to augment in the short term and the price action is probably going to retest the 1,970 – 2,000 area by Friday.

Investors will concentrate their attentions on Europe’s debt problems and the European Central Bank whilst on Friday all eyes will be on Bernanke.

The oscillation rate could easily augment during the announcement of the aforementioned news and increase the magnitude of any potential drop of E-Mini Nasdaq futures.

VXN Index Volatility Forecast (22/08/2011)

Needless to say that the sharp, violent and unexpected explosion of the conditional variance is the natural consequence of what happened the last week: ridiculous politicians and bad macroeconomics news. In particular, the VXN Index opened at 30.44% on Monday, rose to 31.55% on Tuesday, touched 31.17% on Wednesday, jumped to 41.61%, on Thursday and climbed to 43.47% on Friday.

The actual volatility is 15.8% (54.7% monthly) and the TGARCH plot is clearly displaying a steep upward sloping curve which highlights the fact that wild market swings and violent retracements are very probably to occur in the upcoming days. Moreover, it is worth noting that the current volatility level is very close to the one achieved during the big drop occurred in equity markets during March 2010: a very strong warning signal.

The implied volatility of the high-tech index should increase over the next hours as many market participants will keep buying protections against their stock portfolios.

The HyperVolatility team is bullish the VXN Index and we expect the Nasdaq100 implied volatility to touch the 48% – 50% by Friday.

There could be unexpected good news which is going to smooth the volatility curve but even the most insignificant bad macroeconomics data would twist investors’ mood in a matter of a few minutes.

Figures from US and Germany will be crucial this week whilst Bernanke’s speech on Friday would be of absolute importance.

E-Mini Nasdaq Futures Volatility Forecast (14/08/2011)

The last week we forecasted a violent retracement of the hi-tech index which would have brought futures prices to retest the 2,100 area and our projections proved even more profitable because the market settled well below that level.  E-Mini Nasdaq futures opened at 2,039 on Monday, achieved 2,154 on Tuesday, dropped to 2,085 on Wednesday, jumped to 2,158 on Thursday and closed at 2,177 on Friday.

The actual volatility is 3.4% (53.9% in annual terms) and the TGARCH plot is showing a volatility curve which is downward sloping and whose mean reverting process has already begun. The conditional variance should decrease, over the next trading days, and probably settle around the 1% area (15.8% annualised).

The big buy pressure that the market experienced in the last 2-3 days and the plunge in volatility, which is now starting to become more and more evident, are clear signals that many investors and traders are trying to collect as many shares as possible in order to profit from a potential return of the index to regularity.

The HyperVolatility team is bullish E-Mini Nasdaq futures because the oscillation rate is likely to continue its journey towards its equilibrium point whilst the price action is going to be backed by a decrease in its fluctuations rate. Furthermore, the VXN Index is now starting to mean revert and such a phenomenon should be an additional positive factor for the recovery of futures prices. We believe that the 2,260 – 2,275 points will be achieved by the next Friday, credit rating agencies permitting.

E-Mini Nasdaq Futures Volatility Forecast (08/08/2011)

The hi-tech stocks Index plummeted very violently for 10 days in a row. In fact, E-Mini Nasdaq futures opened at 2,346 on Monday, dropped to 2,288 on Tuesday, settled at 2,303 on Wednesday, plummeted to 2,212 on Thursday and closed at 2,190 on Friday.

The current volatility is 1.9% (30.1% annualised) and the TGARCH chart is visibly showing a volatility curve which, although extremely high, is still upward sloping meaning that the next trading days could see an even higher degree of market fluctuations.

The US debt concerns and the slow growth of the American economy badly affected Nasdaq’s performance as well and the fact that the conditional variance is now trading in its highest quartile in 5 months does not really mean that it is ready to retrace towards the long term equilibrium point.

The HyperVolatility team is very bearish on E-Mini Nasdaq futures because the fluctuations rate is very high and likely to remain there, investors’ fear is palpable and hi-tech stocks are quite risky and volatile. Therefore, many market participants will probably shift their money towards more secure assets in order to avoid unexpected and unwanted surprises.

E-Mini Nasdaq futures, given the actual volatility rate, will plunge all week long and probably retest the 2,100 area by Friday.

Nevertheless, there might be some very short term retracement of the price but, in this market, they would probably be bull traps.

E-Mini Nasdaq Futures Volatility Forecast (02/08/2011)

E-Mini Nasdaq futures opened at 2.423 on Monday, moved to 2.424 on Tuesday, dropped to 2,360 on Thursday and closed at 2,363 on Friday.

The current volatility is 1% (15.8% annualised) and the TGARCH plot is showing a slightly upward sloping curve which is trading within a very high range although still pointing towards the 1.1% level (17.4% in annual terms). However, it is worth noting that the volatility chart of E-Mini Nasdaq futures is very similar to the DJ EuroStoxx50 futures one because the conditional variance began to increase in April, softened in June but now seems ready to rally once again.

However, it is worth noting that E-Mini Nasdaq futures are close to the 2,450 resistance level which is a pretty strong psychological point for investors and traders because it has never been fully violated in the last 2 years.

The HyperVolatility team is bullish E-Mini Nasdaq futures, although there might be some short term volatility explosions that could keep the price action down in the first half of the week. Nonetheless, the mean reverting process of the volatility should push the conditional variance down favouring a recovery of the price which could eventually retest the 2,430 – 2,435 threshold by Friday.

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