E-Mini Nasdaq Futures Volatility Forecast (30/08/2011)

E-Mini Nasdaq futures opened at 2.047 on Monday, rose to 2,123 on Tuesday, touched 2,139 on Wednesday, dropped back to 2,111 on Thursday and closed at 2,165 on Friday.

The actual volatility is 2% (31.7% annualised) and the TGARCH plot is showing a slightly upward sloping curve which would normally imply an increase in market fluctuations. The price action has been significantly affected by Bernanke’s speech and many traders either adjusted their positions or closed their existing ones before the conference causing a sensible augment in the oscillation rate.

However, the chart is still displaying a mean reverting process which has not completed its journey towards the long term equilibrium point but that is likely to do so in the upcoming hours.

The HyperVolatility team is bullish E-Mini Nasdaq futures because the volatility should soften over the next trading hours favouring a recovery of the price action which should eventually retest the 2,250 points by Friday.

Needless to say that the macroeconomics news that are going to be released will have a massive impact on the price action and some negative figure could drag futures prices back down into the 2,100 area.

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