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E-Mini S&P500 Futures Volatility Forecast (30/08/2011)

E-Mini S&P500 futures opened at 1,124 on Monday, rose to 1,158 on Tuesday, achieved 1,171 on Wednesday, plummeted to 1,157 on Thursday and closed at 1,175 on Friday.

The current volatility is 2.2% (34.9% in annual terms) and the TGARCH plot displays a sideways movement of the volatility curve which clearly implies the fact that many traders and investors have been waiting for Bernanke’s speech. The conditional variance is still extremely high and the mean reverting process should manifest itself over the next trading hours although some short term volatility increases are quite likely to occur.

However, it is important to point out that the overall interpretation of the chart highlights that a softening of the market fluctuations rate is quite likely to happen.

The HyperVolatility team is bullish E-Mini S&P500 futures because the decrease in market volatility should favour a recovery of the price which could eventually retest the 1,230 points by Friday.

It is worth noting that the majority of investors and traders will focus on the macroeconomics news such as manufacturing index, NFP and initial jobless claims and therefore a great deal of attention will be needed during their announcement.

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