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E-Mini Nasdaq Futures Volatility Forecast (03/04/2011)

The last week we forecasted a rise of E-Mini Nasdaq futures towards the 2,330 -2,335 and indeed the closing price on Friday was 2,337 points. Furthermore, we predicted a mean reverting movement of the TGARCH curve in the 0.5% area (7.9% annualised) and an immediate stabilisation of market rate fluctuations once this level had been achieved: the volatility is now at 0.58% (9.2% in annual terms).

The TGARCH plot is now displaying a stable curve and it is reasonable to believe that such fluctuations will remain unaltered for the rest of the week although a short term augment of volatility could bring a bit of uncertainty in the price action.

The HyperVolatility team is still bullish on this market and we will try to place some longs because the market should break through the 2,345 points and test the 2,350 level by the end of the week.

Furthermore, the falling volatility of the VXN Index and the good unemployment figures showed in the Non Farm Payrolls should push up investors’ confidence and consequently drive futures prices up.

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