E-Mini S&P500 Futures Volatility Forecast (28/11/2010)

The sideways movement that we saw during the last week was not really unexpected and the last part of the volatility plot unmistakably highlights the uncertainty surrounding this market.

The E-Mini S&P500 futures index has a current volatility of 1.2% (19% annualised) and we think that a trading between 1180 and 1200 is very likely to happen this week as well.

However, the next Thursday and Friday will be very volatile days since many important news are going to be announced. Furthermore, since many investors are buying and selling over “macros” it could be easy to see a large rise in the price caused by better than expected news.

Therefore, the volatility should decrease to 0.8% (12% annualised) and the index should trade sideways from Monday to Wednesday but the last 2 days of the week could favour a resumption of the price which could get back to 1210 – 1220

2 Responses to E-Mini S&P500 Futures Volatility Forecast (28/11/2010)

  1. What do you make of this week’s breakout? VIX put in a hammer on the 15-min chart at the close today, right at the 18 support level. I’m thinking some mean reversion is in order for next week, but a breakdown could lead to vol crush.

    • The volatility plummeted after last week S&P500 performance. I think that in the next week we will see a shy retracement, with VIX fluctuating around 19% – 19.5%, in the first 3 days whilst the market should get back up as we approach the weekend.Should my forecast be right, the VIX will stabilse at 19% by the end of the week.
      I agree that a breakdown of the 18% level would crash the VIX ,however, in that case I guess we would have a sideways movement of the S&P until the end of the year but January and February VIX futures prices would explode meaning that the beginning of the 2011 will see the S&P going all the way down to 1150.

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