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E-Mini S&P500 Futures Volatility Forecast (10/05/2011)

The last week we were bearish E-Mini S&P500 futures and our analysis proved extremely profitable and accurate once again. Specifically, the market opened at 1,357 it plummeted to 1,343 on Wednesday but the selling pressure was extremely high and futures prices closed at 1,335 on Friday.

The actual volatility is around 0.8% (12.6% in annual terms) and the slope of the TGARCH curve seems suggesting that the down move that characterised the market the last week is now over. Additionally, the volatility curve will probably tend to revert towards its equilibrium point which is in the 0.55% – 0.6% area (8.7%- 9.5% annualised).

Additionally, the selling pressure which was mainly driven by the massive drop that commodity markets (and particularly oil prices) went through accompanied by a strengthening dollar, should not continue in the upcoming hours and many bulls will tend to place some robust long positions.

The HyperVolatility team is bullish on E-Mini S&P500 futures and we will try to place some long positions as soon as a convenient price will show up. In fact, if the volatility collapses or remains low the price should head north again and retest the 1,355 – 1,358 area by the next Friday.

On the other hand, should the volatility rise unexpectedly and surpass the 0.9% threshold (14.2% annualised) we would not place any positions at all. However, given the fact that the VIX Index is plummeting too such eventuality should not represent a real threat.

E-Mini S&P500 Futures Volatility Forecast (02/05/2011)

The quantitative based forecast provided by the HyperVolatility team proved extremely useful and profitable once again!!! E-Mini S&P500 futures rose as expected and the last week profit target (1,340 – 1,345 points) has been largely surpassed. The American Index opened at 1,340 rose to 1,355 and then closed at 1,363 on Friday: a great trade!!!

The volatility is fluctuating around the 0.41% level (6.5% annualised) and the TGARCH curve is displaying a stable scenario which is going to push futures prices even higher should things remain unaltered.

Nonetheless, it is not difficult to notice that the conditional variance has been plummeting since March and that the current situation is unstable because such a low volatility measurement cannot remain unchanged forever.

The mean reverting point has been clearly touched and the prolonged flatness of the volatility curve should be interpreted as the calm before the storm because, at this point, an augment of the conditional variance is very likely to happen.

The HyperVolatility team is bearish on E-Mini S&P500 futures and we believe that the price will be pushed back down in the 1,330 area by the end of the week whilst the volatility should achieve the 0.8% – 0.85% area (12.6% – 13.4% in annual terms).

Consequently, we will look for short opportunities as soon as the volatility starts increasing but should not that be the case we would not enter the market at all.

E-Mini S&P500 Futures Volatility Forecast (24/04/2011)

The American Index experienced a massive drop at the beginning of the last week: from 1,319 on Saturday the 15th to 1,301 on Monday the 18th!!! However, it has be pointed out that E-Mini S&P500 futures managed to recover at a very fast pace because after hitting 1,328 point on Wednesday the price rallied to 1,330 on Thursday.

The actual volatility is around 0.78% – 0.8% (12.3% – 12.6% in annual terms) and the TGARCH plot is now showing a dropping curve which is an evident signal that the down movement is over and that the Index is ready to head north once again.

Specifically, the conditional variance should remain almost unchanged over the next trading days, although some shy short term augments in the 0.82% area (13% annualised) are not to exclude.

Such a phenomenon is going to push E-Mini futures even higher because the prompt decrease in volatility which accompanied the sharp rise highlights the fact that many investors and traders did not get rid of their long positions and are still confident about an ulterior rally of the American Index.

The HyperVolatility team is moderately bullish on this market and we will place some longs as soon as possible because, should the volatility hang about the current level, the price is going to rise and probably achieve 1,340 – 1,345 point by the end of the next week, news permitting.

E-Mini S&P500 Futures Volatility Forecast (18/04/2011)

The last week we “predicted” a retracement of the American Index and our short positions proved very profitable. The E-Mini S&P500 futures opened at 1,320 dropped at 1,308 but on Friday they rose again and closed at 1,318.

We closed our short positions on Thursday because our profit target was around 1,322 and since futures prices sharply plummeted to 1,308 and remained in the 1,308- 1,309 area for 2 consecutive days we decided not to risk what already had earned because the market seemed not be willing to break through the 1,310 support.

Furthermore, the conditional variance started to decrease highlighting that many market participants were ready to bank in profits and buy back their long positions, phenomenon which would have increased the market price as effectively it was.

The current volatility is around 0.78% (12.3% in annual terms) but although the TGARCH plot is showing a downward sloping curve we believe that the upcoming days will be quite volatile with readings around 1% – 1.1% (15.8% – 17.4% in annual terms).

Principally, since the middle of March there has been a constant decline of market fluctuations and given the fact that the bottom has now be reached there is a very high probability, in statistical terms, that the curve is going to mean revert.

The HyperVolatility team remains bearish on E-Mini S&P500 futures because should the augment in volatility and the bullish view on the VIX really occur we would see futures prices plummeting into the 1,290 area.

E-Mini S&P500 Futures Volatility Forecast (10/04/2011)

The E-Mini S&P500 futures went through a bearish week mostly influenced by the new bad news coming from Japan. In fact, the Index opened at 1,329 dropped at 1,328 and settled at 1,324 on Friday.

The actual volatility is around 0.68% – 0.7% (10.7% – 11.1% annualised) but the TGARCH plot is really flat and in this case a short term explosion of the conditional variance could easily drag down futures prices.

Specifically, the week ahead has 2 potential scenarios: in the first one the volatility remains unchanged and the market keep rising whilst in the second one a slight increase in the market fluctuations rate would push prices even more down.

E-Mini S&P500 futures should sensibly rise in the first days of the week and retest the 1,329 area but it is quite probable that the next trading days will experience a down movement which is going to pull the price around 1,322 points.

The HyperVolatility remains moderately bearish on E-Mini S&P500 futures and we will try to place some shorts once the market will show some weakness (read increasing volatility) even if the first days could eventually show some fragile attempts to sustain the price in the current area.

E-Mini S&P500 Futures Volatility Forecast (03/04/2011)

The last week our forecast suggested a further rise of E-Mini S&P500 futures towards the 1,330 area and the HyperVolatility team was right once again!!! Specifically, the market opened at 1.302 on Monday, rose to 1,323 on Wednesday and closed even higher at 1,327 the last Friday. A very successful trade!!!

The actual volatility is fluctuating around 0.78% (12.3% annualised) but the TGARCH curve is showing a fairly stable scenario which is likely to remain unaltered over the following trading days.

Additionally, the VIX Index will probably keep declining and a decreasing implied volatility should favour an ulterior recovery of futures prices which should achieve 1,350 points by the end of the next week.

The HyperVolatility team remains bullish on E-Mini S&P500 futures and we will place some long positions as soon as the market will open because the great macroeconomics news, in terms of unemployment rate, reported in the last Non Farm Payrolls are going to boost investors’ confidence in the economy.

E-Mini S&P500 Futures Volatility Forecast (27/03/2011)

The staff of HyperVolatility was right once again!!! The E-Mini S&P500 futures market was expected to rise and achieve the 1,290 – 1,300 points and effectively 1,310.7 was the closing price registered the last Friday.

The volatility curve is visibly downward sloping and the mean reverting process will probably push it even further dragging the curve from the actual figure 0.83% (13.1% annualised) towards the 0.65% area (10.3% in annual terms).

Consequently, futures prices should be favoured by such a drop and head north even this week, although the strength of the up move should not be as powerful as one might think. Specifically, once the volatility will touch the “settlement level” the market is quite likely to experience a sideways movement or a slow and constant increase.

The staff of HyperVolatility remains bullish on E-Mini S&P500 futures and we will place some long positions as soon as the market opens because the Index should achieve 1,330 – 1,340 points by the end of the week.

Nevertheless, the macroeconomic scenario is still very fragile and a great deal of attention will be needed during the next trading sessions because unexpected news could easily influence market volatility and drag back down futures prices.

E-Mini S&P500 Futures Volatility Forecast (21/03/2011)

The E-Mini S&P500 futures market fell as forecasted the last week and our analysis proved extremely accurate and profitable once again!!! Specifically, the American Index opened at 1,296, dropped to 1,253 and then closed at 1,274 on Friday.

The volatility is now1.5% (23.8% in annual terms) and evidently this is the highest value ever achieved by this market over the last 5 trading months. Is this scenario sustainable? Is volatility going to rise even more in the upcoming trading days? We believe that the TGARCH curve is going to mean revert towards 1.2% (19% annualised) whilst the Index will increase in value and will probably achieve 1,290 – 1,300 by the next Friday.

The market seems to have already absorbed the negative news from Japan, hence, the only macro-variable which could affect the price is the war in Libya.

The staff of HyperVolatility remains bullish on the E-Mini S&P500 futures market and we will enter some long positions as soon as the market opens.

However, as mentioned for the other markets, our stops will be quite tight because the global situation is still very delicate and a great deal of attention is required in order to secure the returns that will be earned.

E-Mini S&P500 Futures Volatility Forecast (14/03/2011)

The E-Mini S&P500 dropped quite significantly and the last week closed at 1,295 highlighting a strong persistence of bears over bulls.

The volatility is around 1% (15.8% annualised) but the very last part of the TGARCH curve is signalling an “almost stable” situation. Nonetheless, the return to a strong recovery of the price should be accompanied by a sharp drop of volatility. Visibly, this is not the case and that is why we believe that the down movement is not over yet.

The great concerns over Japan’s economy are probably going to push away investors from equity markets because they will try to diversify and moderate the risk of their portfolios by buying government bonds (T-Bills or Bund).

The staff of HyperVolatility remains bearish on the E-Mini S&P500 futures market because the volatility should get back to 1.1% – 1.2% (17.4% – 19% in annual terms) whilst the Index should plummet to 1,280 – 1,285 points by Friday

E-Mini S&P500 Futures Volatility Forecast (27/02/2011)

We warned our readers against a sharp retracement of the index and we really hope that you decided to follow our suggestion. The E-Mini S&P500 opened at 1,330 and then dropped to 1,302 before jumping back up to 1,318.

The volatility is now 1% (15.8% annualised) but the fact that the TGARCH curve is downward sloping indicates that the down movement of the Index is over and that the next trading days will see a recovery of the price, macroeconomics news permitting.

Other things being equal, the E-Mini S&P500 futures will tend to rally and achieve the 1,340 area by the next Friday whilst the volatility should diminish and touch the 0.8% (12.6% in annual terms).

On the other hand, this week will see the announcement of so many market movers that the aforementioned scenario could be easily wiped out in a few hours. The staff of HyperVolatility remains bullish on this market but, as for the last week, we will monitor constantly our positions in order to avoid unpleasant losses.

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