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VXN Index Volatility Forecast (01/02/2011)

The last week we forecasted a drop in the VXN Index and the TGARCH volatility plot is now confirming our thesis.

The current VXN volatility is 5.7% (90.4%annualised) and it seems that the curve will keep falling towards the equilibrium point which is around 4% (63.4% annualised).

Consequently, the drop of the VXN volatility will boost the Nasdaq Index which will tend to increase in value and benefit from the decreased rate of market fluctuations.

The staff of HyperVolatility remains bearish on the VXN Index and therefore advise you to use such an information to place some long positions on Nasdaq futures.

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