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

The E-Mini Crude Oil futures prices plummeted to $ 89 a barrel over the last week and such a drop confirmed our forecasts. However, the volatility curve decreased as well highlighting an anomaly that could change the scenario during the next trading days.

The actual TGARCH curve is around 1.4% (22.2% annualised) and since this has been the equilibrium point over the last 5 months it is reasonable to believe that the down movement, at least in the short term, is now over. In fact, if we look at past volatility spikes it is evident that, once achieved the 1.4% level, the rate fluctuated for a while in that area before jumping back up again.

On the other hand, some adjustments due to a temporary augment of market fluctuations could sensibly change the situation.

The staff of HyperVolatility advises you to place some longs since the price could easily achieve the $ 91 a barrel by the end of the next week.

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