E-Mini S&P500 Futures Volatility Forecast (13/02/2011)

HyperVolatility was right once again!!! The E-Mini S&P500 futures rallied from 1,315 to 1,327 and the target price that the last week we expected would have been hit was 1,320 – 1,330 points. A great trade!!!

The TGARCH plot seems almost unchanged and the volatility curve appears quite stable and slightly downward sloping. The actual value is 0.78% (12.3% annualised) but the next trading days should not experience high market fluctuations meaning that the American Index will probably head north again.

Additionally, the volatility of the VIX is plummeting and consequently its reduced oscillation rate would favour a further surge of the E-Mini S&P500 futures prices which could achieve 1,330 – 1,340 points by the end of the next week.

The staff of HyperVolatility remains bullish on E-Mini S&P500 futures. We will long some futures in order to take advantage of the up movement but we will close all the positions out by Friday because the strength of the bulls seems to be diminishing.

Leave a Reply

Your email address will not be published. Required fields are marked *

Go back to top