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E-Mini S&P500 Futures Volatility Forecast (14/03/2011)

The E-Mini S&P500 dropped quite significantly and the last week closed at 1,295 highlighting a strong persistence of bears over bulls.

The volatility is around 1% (15.8% annualised) but the very last part of the TGARCH curve is signalling an “almost stable” situation. Nonetheless, the return to a strong recovery of the price should be accompanied by a sharp drop of volatility. Visibly, this is not the case and that is why we believe that the down movement is not over yet.

The great concerns over Japan’s economy are probably going to push away investors from equity markets because they will try to diversify and moderate the risk of their portfolios by buying government bonds (T-Bills or Bund).

The staff of HyperVolatility remains bearish on the E-Mini S&P500 futures market because the volatility should get back to 1.1% – 1.2% (17.4% – 19% in annual terms) whilst the Index should plummet to 1,280 – 1,285 points by Friday

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