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

The last week we advised investors to look at the 2180 area and our forecast proved extremely accurate since futures prices are now around 2188. The E-Mini Nasdaq futures volatility chart shows a downward sloping curve which touched 0.7% (11% annualised) and accompanied the steady rally that the price saw over the last week.

The fluctuations that this market experienced and the great steadiness of price to unemployment figures seem to suggest a further rise towards the 2200 area.

The volatility should rise again but not significantly and the up move should continue until the end of December.

The staff of HyperVolatility still believes that these readings are pretty low for the Nasdaq, however, the first half of the next week should see a short term retracement that will revert as we approach the weekend.

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

The Nasdaq is going through a sideways movement and the volatility plot highlights the uncertainty surrounding this market.

The drop that we managed to forecast pushed up the volatility but it appears that this was not enough. In fact, the narrow ranges the Mini Nasdaq is trading into seem to be the calm before the storm.

Specifically, an highly volatile market such as the Nasdaq cannot really hold for extended periods volatility readings of 0.9 (14% annualised) and we strongly believe that the downward correction is yet to finish. In particular, volatility estimations around the 1.3% area (20% annualised) would not really be unexpected.

The staff of HyperVolatility suggests you to sell your longs (if you still have any) and look for shorting opportunities.

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

HyperVolatility was right again !!! In fact, the TGARCH clearly shows that the volatility in the market started to increase even if it is still remarkably low 1% (16% annualised).     The E-Mini Nasdaq fell to 2134 in the last 2 days after a very bearish week which began with prices fluctuating around the 2184 area and we think that things could get worse as we approach the end of the 2010.

We are still bearish on the E-Mini Nasdaq because the volatility should rise to 1.6% -1.8% (25% -28% annualised) bringing down prices to 1850. Furthermore, the Nasdaq should be an extremely volatile markets because of the nature of its components but this is not happening and it is an ulterior sign of warning.

HyperVolatility suggests you to get out of long positions (if you still have any) and start looking towards the short side of the market.

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

We decided to introduce the E-Mini Nasdaq because it is shows the performance of one of the most fast-growing business sectors,hence,we need a thorough study of its fluctuations in order to have a complete understanding about the current markets conditions

We all know that the Nasdaq plots the performance of the High Tech sector in the US and it is logical to assume that High Tech stocks are more volatile than “normal” ones. However, the TGARCH volatility shows a chart which is very similar to the E-Mini S&P500 one.

The last readings display a clear period of uncertainty because the volatility seems to be stuck between 0.5% – 0.8% after an extended drop which started in June where the TGARCH estimation was around 20%.

Like other equity markets the E-Mini Nasdaq saw a sharp drop of volatility in the last 5 months but the fact that this market is usually more volatile than others should be interpreted as a warning signal for traders and investors.                                                           We are bearish because in a volatile market such as the High Tech one, volatility estimations  below the 1% are unacceptable.

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