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E-Mini Nasdaq Futures Volatility Forecast (13/06/2011)

We were bearish E-Mini Nasdaq futures and we forecasted an end-of-week price around the 2,235 – 2,240: our analysis proved accurate once again. Particularly, futures prices opened at 2,274 plummeted to 2,248 on Wednesday, rose to 2,252 on Thursday and closed at 2,222 on Friday.

The actual volatility is 1.4% (22.2% annualised) and the TGARCH curve is undoubtedly extremely high but it appears that the conditional variance is now tending to mean revert and collapse even though the decreasing progression could be quite slow at the beginning.

Furthermore, the variance will tend to settle around the 0.58% – 0.65% area (9.2% – 10.3% annualised) and E-Mini Nasdaq futures will be probably head north because the low market fluctuations rate will favour their recovery.

It is worth reminding that the Nasdaq Index has been influenced, like all other equity indices, by the negative macroeconomics news that hit the market almost 10 days ago and even if this market is very volatile the current readings are unsustainable.

The HyperVolatility team is moderately bullish on E-Mini Nasdaq futures because the slow but constant mean reverting process is going to back the price action which could eventually achieve 2,270 – 2,285 points by Friday.

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