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

The hi-tech stocks Index plummeted very violently for 10 days in a row. In fact, E-Mini Nasdaq futures opened at 2,346 on Monday, dropped to 2,288 on Tuesday, settled at 2,303 on Wednesday, plummeted to 2,212 on Thursday and closed at 2,190 on Friday.

The current volatility is 1.9% (30.1% annualised) and the TGARCH chart is visibly showing a volatility curve which, although extremely high, is still upward sloping meaning that the next trading days could see an even higher degree of market fluctuations.

The US debt concerns and the slow growth of the American economy badly affected Nasdaq’s performance as well and the fact that the conditional variance is now trading in its highest quartile in 5 months does not really mean that it is ready to retrace towards the long term equilibrium point.

The HyperVolatility team is very bearish on E-Mini Nasdaq futures because the fluctuations rate is very high and likely to remain there, investors’ fear is palpable and hi-tech stocks are quite risky and volatile. Therefore, many market participants will probably shift their money towards more secure assets in order to avoid unexpected and unwanted surprises.

E-Mini Nasdaq futures, given the actual volatility rate, will plunge all week long and probably retest the 2,100 area by Friday.

Nevertheless, there might be some very short term retracement of the price but, in this market, they would probably be bull traps.

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