E-Mini S&P500 Futures Volatility Forecast (24/04/2011)

The American Index experienced a massive drop at the beginning of the last week: from 1,319 on Saturday the 15th to 1,301 on Monday the 18th!!! However, it has be pointed out that E-Mini S&P500 futures managed to recover at a very fast pace because after hitting 1,328 point on Wednesday the price rallied to 1,330 on Thursday.

The actual volatility is around 0.78% – 0.8% (12.3% – 12.6% in annual terms) and the TGARCH plot is now showing a dropping curve which is an evident signal that the down movement is over and that the Index is ready to head north once again.

Specifically, the conditional variance should remain almost unchanged over the next trading days, although some shy short term augments in the 0.82% area (13% annualised) are not to exclude.

Such a phenomenon is going to push E-Mini futures even higher because the prompt decrease in volatility which accompanied the sharp rise highlights the fact that many investors and traders did not get rid of their long positions and are still confident about an ulterior rally of the American Index.

The HyperVolatility team is moderately bullish on this market and we will place some longs as soon as possible because, should the volatility hang about the current level, the price is going to rise and probably achieve 1,340 – 1,345 point by the end of the next week, news permitting.

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