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E-Mini Nasdaq Futures Volatility Forecast (21/03/2011)

The 2.270 area we thought would have been touched the last week has been clearly surpassed by the market which closed at 2,226 on Friday. Our forecasts have been very useful and more importantly very profitable once again.

The current volatility is 2.4% (38% annualised) but the TGARCH plot is clearly displaying an unstable situation because such a high volatility rate will probably tend to mean revert over the next trading days.

In particular, the curve will probably tend to get back to 1.5% (23.8% annualised) by the end of the week driving the market back up again. In other words, the E-Mini Nasdaq futures could achieve the 2,280 – 2,285 area by the next Friday.

The staff of HyperVolatility will place some longs in order to profit from the falling volatility of the E-Mini Nasdaq market (which is backed by the decreasing volatility of the VXN Index) but we will place some strict stops since the global political environment is still quite uneven.

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