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E-Mini S&P500 Futures Volatility Forecast (05/12/2010)

The great pull back of the price in the 1210-1220 area that we anticipated the last week is now reality. The E-Mini S&P500 futures volatility plot shows a drop that has never happened over the last 6 months. The TGARCH volatility is now 0.15 (2.3% annualised) and it is obvious that such a figure is more likely to augment than it is to touch 0.

On the other hand, the market managed to stay up although the macroeconomic data were not good at all, hence, the price is likely to remain at this level until the end of the next week.

The volatility should achieve 0.7% (11% annualised) and fluctuate within 0.6% – 0.9% (9.5% – 14% in annual terms) meaning that the market will probably tend to head north and stay in the 1230 – 1240 area.

The staff of HyperVolatility suggests to look at the long side of the market even if a very short term retracement and a medium rise in volatility could be useful to confirm the uptrend.

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