E-Mini Nasdaq Futures Volatility Forecast(06/02/2011)

The VXN Index unexpectedly rose to 9.2% (146% annualised) even if the Nasdaq Index did not drop and this could be interpreted as a warning signal.

However, the current TGARCH plot is showing a volatility curve which is clearly downward sloping and this should mean that the large surge experienced in the price of Index futures will tend to stabilise over the next days.

The VXN Index, which measures the implied volatility of the Nasdaq100, will probably tend to mean revert and touch 4% (63.48% annualised) in the short term. Consequently, a drop in the implied volatility should imply a further rally of the underlying and therefore the staff of HyperVolatility suggests you to adopt a combined strategy: long the Nasdaq100futures and short Nasdaq100 Options.

Leave a Reply

Your email address will not be published. Required fields are marked *

Go back to top