E-Mini Nasdaq Futures Volatility Forecast (27/09/2011)

E-Mini Nasdaq futures opened at 2,300 on Monday, closed at 2,296 on Tuesday, dropped to 2,246 on Wednesday, plunged to 2,179 on Thursday and settled to 2,203 on Friday.

The current volatility is 1.9% (30.1% annualised) and the TGARCH chart is evidently displaying an upward sloping curve which seems to suggest an increase in the conditional variance over the next trading days. Nevertheless, the sharp explosion of the oscillation rate has now touched a critical level which has been violated only once in the last 5 months.

The probability of the volatility to keep rising is fairly low unless another sell-off day is going to occur in the next days. As mentioned in previous analysis most of the attention will be focused on speculative buying in the hope the European Union will manage to respond firmly to market concerns.

The HyperVolatility team is moderately bullish E-Mini Nasdaq futures which are likely to retest the 2,300 – 2,350 threshold before Friday whilst the oscillation rate should soften and bring some relief to investors.

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