E-Mini Nasdaq Futures Volatility Forecast (10/05/2011)

The last week we set our profit target in the 2,365 – 2,370 area and our “expectations” have been clearly met since the Hi-Tech Index plummeted throughout the entire week.

E-Mini Nasdaq Futures opened at 2,402 on Monday but the bearish movement suddenly pushed the price down and the closing on Wednesday was around 2,384 whilst the definite confirmation of our analysis ‘accuracy came with the 2,373 points touched on Friday.

The actual volatility is around 0.78% (12.3% annualised) and the TGARCH curve is signalling that a decrease in the conditional variance could be a quite probable scenario in the upcoming days.

On the other hand, the augment of the volatility curve during the market drop was not that substantial and the current plot seems highlighting a fairly stable situation which should support the price action and an ulterior up move of futures prices.

The HyperVolatility team is bullish on E-Mini Nasdaq futures because the dropping volatility is going to enhance the probability of a steady recovery of the price.

Furthermore, the volatility of the VXN Index is likely to collapse over the next trading days and consequently futures prices should retest the 2,400 points by Friday.

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