E-Mini Crude Oil Futures Volatility Forecast (21/03/2011)

Shorting E-Mini Crude Oil futures has been a great idea because the $ 99 a barrel area was passed and the market found around $ 97.3 a barrel. However, the increased fear for the military intervention against Libya immediately changed the situation and E-Mini futures prices got back to $ 101.7 by the last Friday.

The current volatility is now 2.2% (34% annualised) and the TGARCH plot is evidently displaying a downward sloping curve which should accompany a further surge of E-Mini Crude Oil futures toward the $ 102.5 – 103 a barrel.

On the other hand, the up move should not be extremely powerful and therefore we believe that a sideways week could be the most likely scenario, breaking news permitting.

The staff of HyperVolatility will place some longs but with extremely strict stops because a narrow trading range could easily destroy all the returns that are going to be accrued.

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