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E-Mini Nasdaq Futures Volatility Forecast (23/01/2011)

The E-Mini Nasdaq was expected to get to 2.290 during the past week and indeed it touched this level the last Wednesday. Our forecast were right once again even if the volatility increased even more than what we predicted.

The E-Mini Nasdaq will be likely to rally during this week since the TGARCH curve, which is now at 1.2% (19% annualised), is now reverting towards its equilibrium point at 0.65% (10.3% in annual terms) and the drop could occur at a fast rate.

The VXN Index is reverting toward its mean and if we take into account that the E-Mini Nasdaq volatility plot is dropping too we have a pretty strong bullish signal based on a reliable statistical background.

The staff of HyperVolatility strongly suggests you to enter long positions because the Index should achieve 2.300 – 2.320 points by the end of the week.

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