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E-Mini Crude Oil Futures Volatility Forecast (03/04/2011)

The E-Mini Crude Oil futures rallied and achieved $ 108 the last Friday and the sharp rise is an evident signal that investors are extremely worried about the situation in Libya.

The last week we were bearish on this market but the low volatility fluctuations warned us against a price surge, even if the sideways movement which characterised the first half of the week was correctly forecasted by our previous analysis.

The TGARCH curve is now around 1.6% (25.3% in annual terms) and it is fluctuating within the equilibrium point. However, the upward sloping curve could not necessarily imply a potential market retracement but an ulterior attempt of bulls to push E-Mini Crude Oil futures towards the $ 110 area.

The HyperVolatility team is bullish on this market and we will place some longs as soon as the market is going to open because futures prices should achieve $ 110 by the next Friday.

However, once achieved this threshold there might be a sideways play or a short term retracement with the volatility achieving the 1.8% level (28.5% in annual terms). As a consequence, will tighten our stops or alternatively close our positions.

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