E-Mini S&P500 Futures Volatility Forecast (27/03/2011)

The staff of HyperVolatility was right once again!!! The E-Mini S&P500 futures market was expected to rise and achieve the 1,290 – 1,300 points and effectively 1,310.7 was the closing price registered the last Friday.

The volatility curve is visibly downward sloping and the mean reverting process will probably push it even further dragging the curve from the actual figure 0.83% (13.1% annualised) towards the 0.65% area (10.3% in annual terms).

Consequently, futures prices should be favoured by such a drop and head north even this week, although the strength of the up move should not be as powerful as one might think. Specifically, once the volatility will touch the “settlement level” the market is quite likely to experience a sideways movement or a slow and constant increase.

The staff of HyperVolatility remains bullish on E-Mini S&P500 futures and we will place some long positions as soon as the market opens because the Index should achieve 1,330 – 1,340 points by the end of the week.

Nevertheless, the macroeconomic scenario is still very fragile and a great deal of attention will be needed during the next trading sessions because unexpected news could easily influence market volatility and drag back down futures prices.

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