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E-Mini Nasdaq Futures Volatility Forecast (06/02/2011)

The previous week we forecasted the E-Mini Nasdaq futures to end in the 2,320 area and effectively the Index closed at 2,336 although the volatility firstly dropped, as expected, but then exploded and reached 1.63% (25.8% in annual terms).

Visibly, we are now exactly in the same situation we were in the last week: the volatility is dropping and it is mean reverting towards its equilibrium point which is set to be around 0.7% (11.1% annualised).

The E-Mini Nasdaq futures are probably going to rise even further over the next trading days and the 2,350 zone should be achieved by the end of the next week. Nonetheless, the great amount of macroeconomic data is going to be announced this week could alter the situation, hence, a lot of attention will be needed in order to avoid unwanted market reactions.

E-Mini Nasdaq Futures Volatility Forecast(06/02/2011)

The VXN Index unexpectedly rose to 9.2% (146% annualised) even if the Nasdaq Index did not drop and this could be interpreted as a warning signal.

However, the current TGARCH plot is showing a volatility curve which is clearly downward sloping and this should mean that the large surge experienced in the price of Index futures will tend to stabilise over the next days.

The VXN Index, which measures the implied volatility of the Nasdaq100, will probably tend to mean revert and touch 4% (63.48% annualised) in the short term. Consequently, a drop in the implied volatility should imply a further rally of the underlying and therefore the staff of HyperVolatility suggests you to adopt a combined strategy: long the Nasdaq100futures and short Nasdaq100 Options.

E-Mini Nasdaq Futures Volatility Forecast (01/02/2011)

The E-Mini Nasdaq futures Index was expected to achieve 2,300 – 2,320 points and the staff of HyperVolatility was right again although the Friday trading session was as unexpected as violent.

The volatility is around 0.9% (14.2% annualised) and the TGARCH curve is clearly downward sloping implying that the Index is more likely to rise rather than to drop.

Furthermore, the drop in the VXN Index indicates that the volatility of volatility is decreasing and consequently that many investors did not get rid of their long positions.

The staff of HyperVolatility suggests you to place some long positions on E-Mini Nasdaq Futures because they should get into the 2,320 zone again and to watch them constantly because over the next trading days the Index should rise as expected.

VXN Index Volatility Forecast (01/02/2011)

The last week we forecasted a drop in the VXN Index and the TGARCH volatility plot is now confirming our thesis.

The current VXN volatility is 5.7% (90.4%annualised) and it seems that the curve will keep falling towards the equilibrium point which is around 4% (63.4% annualised).

Consequently, the drop of the VXN volatility will boost the Nasdaq Index which will tend to increase in value and benefit from the decreased rate of market fluctuations.

The staff of HyperVolatility remains bearish on the VXN Index and therefore advise you to use such an information to place some long positions on Nasdaq futures.

E-Mini Nasdaq Futures Volatility Forecast (23/01/2011)

The E-Mini Nasdaq was expected to get to 2.290 during the past week and indeed it touched this level the last Wednesday. Our forecast were right once again even if the volatility increased even more than what we predicted.

The E-Mini Nasdaq will be likely to rally during this week since the TGARCH curve, which is now at 1.2% (19% annualised), is now reverting towards its equilibrium point at 0.65% (10.3% in annual terms) and the drop could occur at a fast rate.

The VXN Index is reverting toward its mean and if we take into account that the E-Mini Nasdaq volatility plot is dropping too we have a pretty strong bullish signal based on a reliable statistical background.

The staff of HyperVolatility strongly suggests you to enter long positions because the Index should achieve 2.300 – 2.320 points by the end of the week.

VXN Index Volatility Forecast (23/01/2011)

The last week we predicted a sharp expansion of the VXN Index and effectively that is what happened. The mean reverting feature of volatility index have been respected by the VXN, and admittedly, in a fairly short period of time.

The volatility is now 6.3% (99.9% in annual terms) and even if the curve is still upward sloping there is a high probability that the volatility of the VXN Index will tend to revert to its equilibrium point which is around 4% (63.48% annualised).

The staff of HyperVolatility is therefore bearish on the VXN since a drop of market fluctuations is about to occur and such a phenomenon will indirectly have some side effects on the Nasdaq Index whose decreased volatility rate could favour a recovery in price.

VXN Index Volatility Forecast (17/01/2011)

The VXN Index is the equivalent of the VIX but for the Nasdaq100 Index. Likewise, the current volatility is 4% (63.48% annualised) and it seems that this level has constituted the equilibrium point over the last 3 years.

On the other hand, the great volatility of the Nasdaq100 Index indicates that the volatility of the VXN could increase sharply over the next days and touch 5.5% – 6% (87.2% – 95.2% in annualised terms).

The main difference between the VIX and the VXN is that the latter is more volatile during explosions even if they are less frequent whilst the VIX moves more often but in a more constrained way.

The staff of HyperVolatility is particularly bullish on the VNX because the volatility of volatility touched its lowest level and statistically speaking this information is very reliable because it is weighted against a data set of 3 years.

Consequently, an investor looking for opportunities in this market could either use options to lock in a volatility arbitrage trade or take a bearish view on the Nasdaq100 in the medium-term.

E-Mini Nasdaq Futures Volatility Forecast (17/01/2011)

The E-Mini Nasdaq Index is showing a consistent low volatility since the beginning of December and the last part of the curve confirms the fact that in January things have not changed much.

The Index rose to 2320 and the current volatility is 0.65% (10.3% annualised) but the TGARCH plot does not seem to provide any particular signal because the conditional standard deviation is fluctuating around its equilibrium point.

Furthermore, the volatility should remain at the same level over the next days and therefore the Nasdaq could continue to rally even if some short term retracement are not to be excluded from the scenario           analysis.

Specifically, the TGARCH plot could touch 0.9% (14.2% in annualised terms) in the very short term and the price could be pushed down in the 2290 – 2300 area but the staff of HyperVolatility remains bullish for this week and suggests you to look for buying opportunities.

E-Mini Nasdaq Futures Volatility Forecast (19/12/2010)

The E-Mini Nasdaq futures went through a quite choppy week which saw prices dropping to 2,203 before jumping back to 2,220 whilst the volatility went from 0.7% (11.1% annualised) to 0.95% (15% annualised).

The E-Mini Nasdaq did not manage to break through 2,220 meaning that the market does not have the strength to do so and investors are more willing to sell long positions and bank their profits.

The volatility should augment and touch 1% (15.8% annualised) and prices are likely to continue in the downtrend touching 2,100 probably before Friday. The staff of HyperVolatility the last week suggested you not to sell your longs because we were waiting for the very last rally but since the market did not manage to explode we now recommend you to close all your positions or taking advantage of the current situation shorting some futures in the short term.

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

The price rally towards the 2200 area that we forecasted last week did not really surprise our readers and our forecast achieved the target at the end of the week as stated in the previous week’s post.

The E-Mini Nasdaq futures prices should rise throughout the next trading days and the price is likely to hit 2500 by the end of the week.

The TGARCH plot seems to accompany our analysis since the volatility is now downward sloping and such a drop is likely to back a rally of the price. Specifically, the current volatility is 0.9% (14.2% annualised) but a decrease towards 0.6% (9.5% annualised) would not be surprising.

The staff of HyperVolatility remains bullish on the E-Mini Nasdaq, at least for the current week, and suggests you not to sell back your long positions because higher returns could be earned by Friday.

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