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

The last week we were bullish E-Mini Nasdaq futures and our forecast proved right solely in the first 2 days of the week because once the Index achieved the top on Tuesday it started to decline. Specifically, the market opened at 2,333 rose to 2,375 it then plummeted to 2,321 on Wednesday whilst on Thursday it settled around 2,326 but it heavily plunged to 2,287 on Friday.

The current volatility is 1.4% (22.2% annualised) and the TGARCH curve is now displaying a slightly upward sloping curve which seems to be a warning against an augment of market fluctuations over the next trading days.

The uncertainty and fear which influenced equity markets clearly had a remarkable impact on the Nasdaq and the unsatisfactory unemployment figures, contained in a overall negative Non Farm Payrolls, are probably going to keep the hi-tech Index in a non-positive status.

The HyperVolatility team remains bearish on E-Mini Nasdaq futures because the volatility curve did not provide any recovery signal and the mean reverting process does not seem to be started yet.

We will try to place some short positions as soon as possible but we will wait for the volatility to provide us with a statistically reliable entry point. Overall, we think that futures prices should touch 2,235 -2,240 points before the next weekend.

However, a sideways movement of the price action could easily drag the conditional variance down but such a drop should not be interpreted as a price recovery: rough waters ahead!!!

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