E-Mini Nasdaq Futures Volatility Forecast (18/04/2011)

The HyperVolatility team forecasted a sideways movement of the Index and our analysis was once again as accurate as useful.

Particularly, E-Mini Nasdaq futures opened at 2,309 dropped to 2,292 in the first 2 days but a further rise brought prices back to 2,309 and, although on Thursday the Index plummeted once again to 2,301, the closing price hit 2,310 on Friday. Indeed, a very choppy week.

The actual volatility is around 0.78% – 0.8% (12.3% – 12.6% annualised) but the TGARCH plot is visibly showing a very flat curve which is quite unusual for a high volatility market such as the Nasdaq Index.

Specifically, if we look at the chart we notice that in January 2011 we had a very similar situation but after a relatively calm period the conditional variance exploded bringing the curve from 0.55% to 1.4%(8.7% – 22.2% annualised) in a few days.

We believe that a very similar scenario is going to hit the market and a bullish VXN Index forecast confirms our hypotheses.

The HyperVolatility team remains bearish on E-Mini Nasdaq futures because we believe that futures prices are going through a sharp retracement which could bring them back into the 2,230 area by the end of the week.

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