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E-Mini Nasdaq Futures Volatility Forecast (06/02/2011)

The previous week we forecasted the E-Mini Nasdaq futures to end in the 2,320 area and effectively the Index closed at 2,336 although the volatility firstly dropped, as expected, but then exploded and reached 1.63% (25.8% in annual terms).

Visibly, we are now exactly in the same situation we were in the last week: the volatility is dropping and it is mean reverting towards its equilibrium point which is set to be around 0.7% (11.1% annualised).

The E-Mini Nasdaq futures are probably going to rise even further over the next trading days and the 2,350 zone should be achieved by the end of the next week. Nonetheless, the great amount of macroeconomic data is going to be announced this week could alter the situation, hence, a lot of attention will be needed in order to avoid unwanted market reactions.

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