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E-Mini S&P500 Futures Volatility Forecast (17/01/2011)

The volatility of the E-Mini S&P500 futures has significantly increased over the last 2 months but the conditional variance plot displays an upward sloping curve which clearly highlights a not stable situation of the market.

The current volatility is now 0.78% (12.3% annualised) but the rate could increase up to 0.8% – 0.82% by the end of the week (12.6% -13% respectively) bringing down the price back into the 1220 – 1230 area.

However, the uncertainty still surrounding this market could quite easily change the situation and this is particularly true because the actual volatility is close to the highest measurements registered over the last 5 months. As a consequence, the volatility should increase slightly before dropping back to 0.4% (6.3% annualised).

The staff of HyperVolatility suggests to place trades intra-day. The last 2 weeks of December saw a ridiculous volume level and therefore we still need 1 week or 2 before getting some pretty reliable figures to base our analysis on.

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