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E-Mini Crude Oil Futures Volatility Forecast (20/02/2011)

The huge gap up we saw on Friday was as sharp as unexpected. The price jumped to $ 89.9 a barrel in a matter of a few hours and the volatility plot displays a quite turbulent curve.

The current volatility is around 1.6% (25% annualised) but it seems that the next trading days are going to experience higher market fluctuations since the TGARCH plot is now showing an upward sloping curve.

Furthermore, it is worth mentioning that the recent depreciation of the dollar against the euro acted as a catalyst and therefore “helped” the recovery of E-Mini Crude Oil futures.

However, the solid resistance placed at $ 90 is probably going to “reject” the price once again and therefore the staff of HyperVolatility will look for short opportunities since the volatility should rise again bringing the price back down in the $ 87-88 a barrel. The previously mentioned movements could get more extreme during the announcement of Initial Job Claims and US Gross Domestic Product data.

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