E-Mini Nasdaq Futures Volatility Forecast (02/08/2011)

E-Mini Nasdaq futures opened at 2.423 on Monday, moved to 2.424 on Tuesday, dropped to 2,360 on Thursday and closed at 2,363 on Friday.

The current volatility is 1% (15.8% annualised) and the TGARCH plot is showing a slightly upward sloping curve which is trading within a very high range although still pointing towards the 1.1% level (17.4% in annual terms). However, it is worth noting that the volatility chart of E-Mini Nasdaq futures is very similar to the DJ EuroStoxx50 futures one because the conditional variance began to increase in April, softened in June but now seems ready to rally once again.

However, it is worth noting that E-Mini Nasdaq futures are close to the 2,450 resistance level which is a pretty strong psychological point for investors and traders because it has never been fully violated in the last 2 years.

The HyperVolatility team is bullish E-Mini Nasdaq futures, although there might be some short term volatility explosions that could keep the price action down in the first half of the week. Nonetheless, the mean reverting process of the volatility should push the conditional variance down favouring a recovery of the price which could eventually retest the 2,430 – 2,435 threshold by Friday.

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