E-Mini Nasdaq Futures Volatility Forecast (06/09/2011)

E-Mini Nasdaq futures opened at 2,220 on Monday, touched 2,226 on Tuesday, rose to 2,246 on Wednesday, plummeted to 2,218 on Thursday and closed at 2,165 on Friday.

The actual volatility is 1.5% (23.8% annualised) and the TGARCH plot is now displaying a slightly upward sloping curve which should keep its upward trend over the next trading hours. The conditional variance, having found support around the 1.5% threshold, seems now ready to bounce back up again and eventually retest the 2% level (31.7% in annual terms) by Friday.

The HyperVolatility team is bearish E-Mini Nasdaq futures because a further increase in the conditional variance is quite likely to occur over the next trading hours.

The price action is likely to retest the 2,100 level by Friday and the fact that the VXN Index will experience an upward moves make this forecast even more reliable.

Maximum attention will be needed on Thursday because, as previously mentioned, Obama’s speech can radically change the overall market sentiment in a matter of a few hours.

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