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E-Mini Crude Oil Futures Volatility Forecast (05/10/2011)

E-Mini Crude Oil futures opened at 81.2 on Monday, rose to 83.6 on Tuesday, sharply dropped to 80.8 on Wednesday, jumped back to 82.8 on Thursday and plummeted to 78.6 on Friday.

The actual volatility is 2.3% (36.5% in annual terms) whilst the plot is displaying a downward sloping volatility curve which should keep plummeting over the next trading days although the mean reverting point is not that far from current levels.

It is worth pointing out that oil prices are not mirroring their “fundamental reasons” anymore but are entirely driven by macroeconomics events and the great drop of the Single currency had a massive impact on E-Mini Crude Oil futures prices.

The HyperVolatility team is moderately bullish this market because a short term recovery of the Euro against the US dollar, the extremely cheap oil prices and a softening volatility curve should back the price action which could eventually retest the $ 80 threshold by Friday.

A further plunge in the Euro vs Dollar exchange rate would irremediably drag E-Mini Crude Oil futures prices down in the $ 73 area.

2 Responses to E-Mini Crude Oil Futures Volatility Forecast (05/10/2011)

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