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E-Mini Nasdaq Futures Volatility Forecast (13/02/2011)

The E-Mini Nasdaq futures moved even higher than what we expected last week. In fact, our forecasts suggested a target price around 2,350 points but E-Mini Nasdaq futures closed at 2,377 on Friday augmenting the profitability rate of our analysis.

The current volatility is 0.78% (12.3% annualised) and it is now moving sideways as the right hand side of the TGARCH plot suggests. However, the lateral movement should favour a further but not strong bullish movement of the price which could break through the 2,380 points by the end of the week.

Furthermore, if we consider that the VXN Index is decreasing the idea of goin g long some more E-Mini Nasdaq futures is not that bad at all since the statistical edge appears to be quite robust.

The staff of HyperVolatility remains bullish on this market and we will place some longs over the next trading days because the price should hit the 2,380 points barrier and eventually achieve 2,385 – 2,390. Having said that, it is worth reminding that the up movement is not going to be “powerful” and a great deal of attention will be needed in the 2,380 area which could prove to be a robust resistance.

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