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E-Mini S&P500 Futures Volatility Forecast (20/02/2011)

The staff of HyperVolatility got it right once again!!! The E-Mini S&P500 futures closed at 1,343 on Friday and the up move was efficiently predicted by our forecast: a really great trade!!!

The current volatility is 0.58% (9.2% annualised) and the TGARCH chart is now showing a downward sloping curve highlighting the steadiness of the uptrend which brought the market towards new highs and that should lift the price in the 1,348 – 1,350 zone over the next days.

On the other hand, the E-Mini S&P500 futures market does not appear to be that stable because the volatility chart has reached the bottom and therefore an increase in variance is pretty likely.

Nevertheless, the staff of HyperVolatility is still moderately bullish on the American market and we will try to take advantage of its “bullishness” by placing some longs, although aware that the strength of the up move decreases exponentially and that US macros could twist market oscillations.

E-Mini S&P500 Futures Volatility Forecast (13/02/2011)

HyperVolatility was right once again!!! The E-Mini S&P500 futures rallied from 1,315 to 1,327 and the target price that the last week we expected would have been hit was 1,320 – 1,330 points. A great trade!!!

The TGARCH plot seems almost unchanged and the volatility curve appears quite stable and slightly downward sloping. The actual value is 0.78% (12.3% annualised) but the next trading days should not experience high market fluctuations meaning that the American Index will probably head north again.

Additionally, the volatility of the VIX is plummeting and consequently its reduced oscillation rate would favour a further surge of the E-Mini S&P500 futures prices which could achieve 1,330 – 1,340 points by the end of the next week.

The staff of HyperVolatility remains bullish on E-Mini S&P500 futures. We will long some futures in order to take advantage of the up movement but we will close all the positions out by Friday because the strength of the bulls seems to be diminishing.

E-Mini S&P500 Futures Volatility Forecast (06/02/2011)

The pull back to the 1,300 area did not certainly surprise our readers because the last week the staff of HyperVolatility efficiently managed to forecast such a phenomenon.

The current volatility is slightly higher than it was the last week, in fact, the TGARCH curve is around 0.9% (14.2% in annual terms) and it would appear that a decline in market fluctuations is likely to occur. Consequently, the E-Mini S&P500 futures market should benefit from such a drop and head north even during the next trading days. Particularly, the price should achieve 1,320 – 1,330 by the end of the week, Non-Farm Payroll figures permitting.

The staff of HyperVolatility advises you to keep going long E-Mini S&P500 futures but, as previously mentioned, a great deal of attention will be needed during macroeconomics data announcements.

E-Mini S&P500 Futures Volatility Forecast (01/02/2011)

The E-Mini S&P500 futures forecasts we gave you the last week proved extremely profitable if we ignore the shocking trading session of Friday and therefore we hope you closed all the long positions on Friday morning (as soon as the market began to drop).

However, the great pull back that dragged the price back into the 1,270 area did not twist the volatility plot which slightly decreased to 0.82% (13.01% annualised) and such a phenomenon is, to us, a warning signal. Specifically, the drop was not consistent and all these bounces that the price had lately around the 1,300 area look like an accumulation period.

The volatility will tend to decrease and probably will get back to 0.6% (9.5% in annual terms) by the end of the week. Consequently, the price should return once again in the 1,300 area and that is why the staff of HyperVolatility advises you to keep going long. Moreover, if we add that the volatility of the VIX index is decreasing the probability for the E-Mini S&P500 to rally largely increase

E-Mini S&P500 Futures Volatility Forecast (23/01/2011)

The down movement has been correctly forecasted the last week although the magnitude seemed to be much larger than what actually thought. Furthermore, we predicted an augment in volatility which was expected to achieve 0.8% and the right hand side of the TGARCH plot clearly confirms that the staff of HyperVolatility was right once again.

The volatility curve is now at 0.9% (14.2% annualised) but the plot is downward oriented and therefore it is likely that the next trading days will be less volatile whilst the price should rise again.

The E-Mini S&P500 futures are going to head north during this week and it is reasonable to believe that the 1.290 points area will be achieved again by Friday accompanied by a volatility drop that should touch 0.3% (4.7% annualised).

The staff of HyperVolatility suggests you to look for long opportunities and wait for the Index to rise although maximum caution and attention will be needed on Thursday because the scenario could drastically change in a few hours if the news are not going to meet investors and analysts’ expectations.

E-Mini S&P500 Futures Volatility Forecast (17/01/2011)

The volatility of the E-Mini S&P500 futures has significantly increased over the last 2 months but the conditional variance plot displays an upward sloping curve which clearly highlights a not stable situation of the market.

The current volatility is now 0.78% (12.3% annualised) but the rate could increase up to 0.8% – 0.82% by the end of the week (12.6% -13% respectively) bringing down the price back into the 1220 – 1230 area.

However, the uncertainty still surrounding this market could quite easily change the situation and this is particularly true because the actual volatility is close to the highest measurements registered over the last 5 months. As a consequence, the volatility should increase slightly before dropping back to 0.4% (6.3% annualised).

The staff of HyperVolatility suggests to place trades intra-day. The last 2 weeks of December saw a ridiculous volume level and therefore we still need 1 week or 2 before getting some pretty reliable figures to base our analysis on.

E-Mini S&P500 Futures Volatility Forecast (19/12/2010)

The E-Mini S&P500 reached 1,243 on Thursday but it then plummeted to 1,238 on Friday and this caused a further increase in the volatility curve which is now at 0.6% (9.5% annualised).

The market failed to go higher and this was, according to our opinion, the last chance for the futures to increase in value and breach the 1,240 level and therefore the next trading days should see a constant decline of the price with an augment in volatility which should take the curve to 1% – 1.1% (15.8% – 17.4% in annual terms).

The E-Mini S&P500 went through an extremely choppy year but the last months saw a steady rally of the price and many fund managers, long position traders and investors are now willing to close their longs and bank their profits.

The staff of HyperVolatility suggests you to close all your positions and walk away. For those willing to keep trading there might be short opportunities intra-day.

E-Mini S&P500 Futures Volatility Forecast (13/12/2010)

Everything we anticipated the last week occurred and HyperVolatility was right once again !!! The market reached 1241 by the end of the week and the volatility dropped as forecasted.

The current volatility of the E-Mini S&P500 futures market is 0.9% (14.2% annualised) but an ulterior down move of the curve should be the most probable scenario for the week. In fact, the volatility is likely to touch 0.7% (11.1% annualised) whilst prices should rally to 1270 by Friday.

The E-Mini S&P500 futures market is unlikely to experience violent and sharp move upward, however, the increase will be quite slow but at a constant rate and therefore the staff of HyperVolatility suggests you to reinforce your long positions because the returns are likely to increase during the next trading days.

E-Mini S&P500 Futures Volatility Forecast (05/12/2010)

The great pull back of the price in the 1210-1220 area that we anticipated the last week is now reality. The E-Mini S&P500 futures volatility plot shows a drop that has never happened over the last 6 months. The TGARCH volatility is now 0.15 (2.3% annualised) and it is obvious that such a figure is more likely to augment than it is to touch 0.

On the other hand, the market managed to stay up although the macroeconomic data were not good at all, hence, the price is likely to remain at this level until the end of the next week.

The volatility should achieve 0.7% (11% annualised) and fluctuate within 0.6% – 0.9% (9.5% – 14% in annual terms) meaning that the market will probably tend to head north and stay in the 1230 – 1240 area.

The staff of HyperVolatility suggests to look at the long side of the market even if a very short term retracement and a medium rise in volatility could be useful to confirm the uptrend.

E-Mini S&P500 Futures Volatility Forecast (28/11/2010)

The sideways movement that we saw during the last week was not really unexpected and the last part of the volatility plot unmistakably highlights the uncertainty surrounding this market.

The E-Mini S&P500 futures index has a current volatility of 1.2% (19% annualised) and we think that a trading between 1180 and 1200 is very likely to happen this week as well.

However, the next Thursday and Friday will be very volatile days since many important news are going to be announced. Furthermore, since many investors are buying and selling over “macros” it could be easy to see a large rise in the price caused by better than expected news.

Therefore, the volatility should decrease to 0.8% (12% annualised) and the index should trade sideways from Monday to Wednesday but the last 2 days of the week could favour a resumption of the price which could get back to 1210 – 1220

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