The last week we were bullish E-Mini S&P500 futures but the huge crash     that commodity prices experienced affected most of the equity indices and     the American one is not an exception. The market opened at 1,342 it dropped   to 1,338 on Thursday it rallied back up again to 1,347 but 1,334 was the closing price on Friday.

The volatility is now fluctuating around 0.8% (12.6% annualised) and, although the TGARCH curve is showing a downward sloping curve, there is a high probability that the next trading days will experience a high degree of market fluctuations.

In fact, the fall in volatility has accompanied a plunge of futures prices and this is not exactly the type of correlation which one might expect from E-Mini S&P500 futures which are notoriously instruments with a high leverage effect feature.

The HyperVolatility team is bearish on this market because the symmetric movement between volatility and price is not going to last long and it should be interpreted as a warning signal.

Specifically, we believe that the conditional variance will at first plummet and settle around 0.55% (8.7% annualised), causing the market to move sideways for a few days, but it will then jump back up again dragging down futures prices which should retest the 1,315 - 1,320 area by the next Friday.