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E-Mini S&P500 Futures Volatility Forecast (24/10/2010)

The volatility in the E-Mini S&P500 Futures sensibly increased over the last 2 weeks but it remains below the 1% level.

The E-Mini achieved 1180 this week but the spread between the VIX and the S&P500 TGARCH volatility is over 10% and this could be an early sign of a retracement since the higher the spread the higher the probability that the realised volatility will augment.

The chart suggests a further down movement of the volatility and this brings more evidence to our hypothesis: the market will experience a retracement which will not lead to a double dip but to a retracement. Many investors are well aware of the fact that such an upward move cannot keep going for ever and since many positions get closed out before the end of year the likelihood of a down move increases as we approach December. Consequently, the staff of  HyperVolatility recommends to wait for the completion of a retracement before placing new long positions.

2 Responses to E-Mini S&P500 Futures Volatility Forecast (24/10/2010)

  1. My scanners also shows a real possibility of VIX elevation.

    • Well, the actual volatility is TOO LOW and I can’t avoid to think that the probabilities for the volatility to explode, at the moment, are much higher than a scenario in which markets keep going up (although there is no fundamental which backs the movement). I am not expecting a double dip but I believe we will see a correction before the end of the year

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