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E-Mini Nasdaq Futures Volatility Forecast (27/03/2011)

The staff of HyperVolatility was right once again!!! The Nasdaq was expected to rise sharply and indeed the American hi-tech Index performed extremely well over the last trading week.

The volatility plot is a perfect example of how sharp, powerful and fast the rise was: the TGARCH curve is now at 0.1% (1.5% annualised). The volatility touched its 5 months low and therefore the next trading days will clearly see an augment in the market fluctuations rate which could revert to 0.5% (7.9% in annual terms) by the next Friday.

The surge in volatility should accompany a short term drop which will probably drive the market into the 2,290 – 2,300 area but we believe that achieved the 7.9% level the volatility will remain constant whilst E-Mini Nasdaq futures will head north again.

The staff of HyperVolatility will monitor the market and look for long opportunities as soon as the market will give some sign of recovery. We are probably going to head a choppy week but the Index should rally and achieve 2,330 – 2,335 by the next Friday.

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