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E-Mini Nasdaq Futures Volatility Forecast (22/08/2011)

The market jumped up at the open and the price action remained at a fairly high level before Germany and France prime ministers decided to destroy what it was left of investors’ confidence whilst US manufacturing data made sure to scare away all buyers left on this planet.

E-Mini Nasdaq futures opened at 2,203 on Monday, touched 2,199 on Tuesday, dropped to 2,176 on Wednesday, kept plummeting on Thursday where it touched 2,084 and closed at 2,042 on Friday.

The current volatility is around 3% (47.6% annualised) and the TGARCH plot, even in this case, is showing a sharp augment in the conditional variance which seems it will increase, given the slope of the curve, over the next trading days. The chart is obviously displaying an extremely high level of market fluctuations and the fact that the impact of the mean reverting process has been so weak is a very important warning signal which should not be ignored.

The HyperVolatility team is bearish E-Mini Nasdaq futures because the conditional variance is likely to augment in the short term and the price action is probably going to retest the 1,970 – 2,000 area by Friday.

Investors will concentrate their attentions on Europe’s debt problems and the European Central Bank whilst on Friday all eyes will be on Bernanke.

The oscillation rate could easily augment during the announcement of the aforementioned news and increase the magnitude of any potential drop of E-Mini Nasdaq futures.

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