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E-Mini Crude Oil Futures Volatility Forecast (13/02/2011)

The heavy drop experienced by E-Mini Crude Oil futures surprised our staff since we were expecting a more stable volatility curve. Specifically, the TGARCH plot achieved 1.98% (31.4% annualised) bringing down the price in the $ 85 a barrel area.

Furthermore, the current volatility is around 1.4% (22% in annual terms) and given the great turbulence of the recent movements of the curve it is likely that the market fluctuations will explode in the short term.

In the reality, the drop of E-Mini Crude Oil futures prices has been “helped” by an appreciation of the US dollar against the euro but this was not the only reason which brought investors to sell their positions.

The staff of HyperVolatility is therefore bearish on this market. We will be looking for short opportunities since a surge of volatility in the 1.9% area (30.1% in annual terms) could easily push the price down in the $ 84.5 zone.

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