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E-Mini S&P500 Futures Volatility Forecast (27/02/2011)

We warned our readers against a sharp retracement of the index and we really hope that you decided to follow our suggestion. The E-Mini S&P500 opened at 1,330 and then dropped to 1,302 before jumping back up to 1,318.

The volatility is now 1% (15.8% annualised) but the fact that the TGARCH curve is downward sloping indicates that the down movement of the Index is over and that the next trading days will see a recovery of the price, macroeconomics news permitting.

Other things being equal, the E-Mini S&P500 futures will tend to rally and achieve the 1,340 area by the next Friday whilst the volatility should diminish and touch the 0.8% (12.6% in annual terms).

On the other hand, this week will see the announcement of so many market movers that the aforementioned scenario could be easily wiped out in a few hours. The staff of HyperVolatility remains bullish on this market but, as for the last week, we will monitor constantly our positions in order to avoid unpleasant losses.

2 Responses to E-Mini S&P500 Futures Volatility Forecast (27/02/2011)

  1. Where are the updates? These are the critical moments in time where your expertise is much desired. I hope you can deliver.. your early work is very promising.

    • I am sorry for the last week but I did not manage to post anything. As you can see, I just updated the new forecasts and I hope you are going to find them useful and informative. Thank you very much for following HyperVolatility and for your kind words.

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