E-Mini S&P500 Futures Volatility Forecast (21/03/2011)

The E-Mini S&P500 futures market fell as forecasted the last week and our analysis proved extremely accurate and profitable once again!!! Specifically, the American Index opened at 1,296, dropped to 1,253 and then closed at 1,274 on Friday.

The volatility is now1.5% (23.8% in annual terms) and evidently this is the highest value ever achieved by this market over the last 5 trading months. Is this scenario sustainable? Is volatility going to rise even more in the upcoming trading days? We believe that the TGARCH curve is going to mean revert towards 1.2% (19% annualised) whilst the Index will increase in value and will probably achieve 1,290 – 1,300 by the next Friday.

The market seems to have already absorbed the negative news from Japan, hence, the only macro-variable which could affect the price is the war in Libya.

The staff of HyperVolatility remains bullish on the E-Mini S&P500 futures market and we will enter some long positions as soon as the market opens.

However, as mentioned for the other markets, our stops will be quite tight because the global situation is still very delicate and a great deal of attention is required in order to secure the returns that will be earned.

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