E-Mini Nasdaq Futures Volatility Forecast (17/01/2011)

The E-Mini Nasdaq Index is showing a consistent low volatility since the beginning of December and the last part of the curve confirms the fact that in January things have not changed much.

The Index rose to 2320 and the current volatility is 0.65% (10.3% annualised) but the TGARCH plot does not seem to provide any particular signal because the conditional standard deviation is fluctuating around its equilibrium point.

Furthermore, the volatility should remain at the same level over the next days and therefore the Nasdaq could continue to rally even if some short term retracement are not to be excluded from the scenario           analysis.

Specifically, the TGARCH plot could touch 0.9% (14.2% in annualised terms) in the very short term and the price could be pushed down in the 2290 – 2300 area but the staff of HyperVolatility remains bullish for this week and suggests you to look for buying opportunities.

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