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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.

VXN Index Volatility Forecast (19/09/2011)

The VXN Index opened at 37.97 on Monday, dropped to 36 on Tuesday, plunged to 33.36 on Wednesday, touched 30.67 on Thursday and closed at 29.36 on Friday.

The current volatility is 6.1% (21.1% monthly) and the volatility curve seems now ready to complete its mean reverting journey which should end around the 4% – 4.5% threshold (13.8 -15.5% monthly) although some short term retracements are still likely to occur over the next trading hours.

The volatility of the VXN Index is clearly signalling that in the upcoming hours the implied volatility of the Nasdaq100 options should diminish but such a scenario is going to hold only if the concerns regarding European debt are going do not unleash an ulterior sell off.

The HyperVolatility team is moderately bearish the VXN Index which could eventually retest the 25% level by Friday. Nevertheless, the likelihood of a short term explosion of the conditional variance remains pretty high because despite the numerous meeting European politicians appear unable to come up with a concrete plan which would save Greece and prevent a domino effect which would destroy the entire old continent economies.

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.

VXN Index Volatility Forecast (06/09/2011)

The VXN Index opened at 32.1 on Monday, settled at 32 on Tuesday, dropped to 31.3 on Wednesday and remained at the same level even on Thursday but on Friday it closed at 33.

The actual volatility is around 7.9% – 8% (27.3% – 27.7% monthly) and the TGARCH plot is displaying a curve which is downward sloping and right in the middle of a mean reverting process. However, the speed at which the conditional variance tend to collapse towards its long term equilibrium point has substantially diminished because, particularly during the final stage of the above mentioned movement, the volatility tend to fall down much more quickly than it is and therefore this phenomenon should be interpreted as a warning signal.

The big and violent spike the volatility experienced on Friday (from 31% to 33%) is a great indicator for investors ‘nervousness. The volatility usually rises or declines gently but these unexpected and sharp jumps are clearly indicating that the situation is not looking good.

The HyperVolatility team is bullish the VXN Index because the decreased mean reverting speed and high fear will probably push the index towards the 35% by Friday.

On the other hand, the volatility could decrease and retest the 30% level if Obama is going to announce big changes in the fiscal policy measures.

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.

VXN Index Volatility Forecast (30/08/2011)

The VXN Index opened at 42 on Monday, dropped to 35.4 on Tuesday, settled at 35.6 on Wednesday, rose to 39.4 on Thursday and closed at 34.4 on Friday.

The actual volatility is 12% (41.5% monthly) and the TGARCH plot is showing a volatility curve which has now created a double top and seems ready to continue its mean reverting journey towards the 4% level (13.8% monthly).   The very last part of the curve displays an insignificant retracement that was caused by fear and nervousness before Bernanke’s speech but that should not alter the overall process.

The HyperVolatility team is bearish the VXN Index because the large up move should start mean reverting at an increased pace over the next trading hours implying that, given the positive correlation between the Nasdaq100 implied volatility index and its stochastic volatility movement, we should see readings around the 30% threshold around Friday, macroeconomics news permitting.

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.

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