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E-Mini Nasdaq Futures Volatility Forecast (02/05/2011)

The 2,385 points profit target we had the last week has been achieved in the first day of trading and our analysis proved very useful once again. E-Mini Nasdaq futures opened at 2,385 rose to 2,402 and closed at 2,407 on Friday. An excellent trade indeed!!!

The volatility is now 0.61% (9.6% in annual terms) but the slope of the curve seems suggesting that the next trading days will be quite volatile because, at this point, a further increase of the conditional variance is far more statistically probable than an ulterior drop.

The chart clearly shows that the oscillation rate for E-Mini Nasdaq futures remained very low for a very long time and therefore the increase in volatility we previously mentioned would bring the curve back into the equilibrium point, which is around 0.8% (12.6% annualised) by dragging the market down.

The HyperVolatility team is bearish on this market because the extended low volatility “scenario” and the probable VXN Index rise are going to negatively influence futures prices which should plummet and touch the 2,365 – 2,370 by the end of the week.

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