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VXN Index Volatility Forecast (21/03/2011)

The rise in volatility that we forecasted the last week evidently occurred and the staff of HyperVolatility was right once again!!! The VXN Index opened at 23.1% on Monday rallied at 28.4% on Thursday and closed at 26.6% on Friday: the combined strategy was quite fruitful.

The volatility is now at 11.7% (40.5% annualised) and it is probable that market fluctuations will start diminishing over the next trading days. The VXN Index will tend to head south and the TGARCH curve should touch 8% (27.7% annualised) by the end of the week if the macro scenario does not change much.

However, should the news from Libya get worse the volatility could jump back up again and retest the 10% area (34.6% in annual terms) but this occurrence, at least at the moment, appears to be the least likely to happen.

The staff of HyperVolatility is bearish on the VXN Index and therefore we will try to trade accordingly by going long Nasdaq futures

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