Categories

Archives

E-Mini Nasdaq Futures Volatility Forecast (22/11/2010)

The Nasdaq is going through a sideways movement and the volatility plot highlights the uncertainty surrounding this market.

The drop that we managed to forecast pushed up the volatility but it appears that this was not enough. In fact, the narrow ranges the Mini Nasdaq is trading into seem to be the calm before the storm.

Specifically, an highly volatile market such as the Nasdaq cannot really hold for extended periods volatility readings of 0.9 (14% annualised) and we strongly believe that the downward correction is yet to finish. In particular, volatility estimations around the 1.3% area (20% annualised) would not really be unexpected.

The staff of HyperVolatility suggests you to sell your longs (if you still have any) and look for shorting opportunities.

Leave a Reply

Your email address will not be published. Required fields are marked *

Go back to top