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E-Mini S&P500 Futures Volatility Forecast (03/04/2011)

The last week our forecast suggested a further rise of E-Mini S&P500 futures towards the 1,330 area and the HyperVolatility team was right once again!!! Specifically, the market opened at 1.302 on Monday, rose to 1,323 on Wednesday and closed even higher at 1,327 the last Friday. A very successful trade!!!

The actual volatility is fluctuating around 0.78% (12.3% annualised) but the TGARCH curve is showing a fairly stable scenario which is likely to remain unaltered over the following trading days.

Additionally, the VIX Index will probably keep declining and a decreasing implied volatility should favour an ulterior recovery of futures prices which should achieve 1,350 points by the end of the next week.

The HyperVolatility team remains bullish on E-Mini S&P500 futures and we will place some long positions as soon as the market will open because the great macroeconomics news, in terms of unemployment rate, reported in the last Non Farm Payrolls are going to boost investors’ confidence in the economy.

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