HyperVolatility - eMini Crude Oil Futures Volatility Forecast (15/06/2011)
Posted by Vito Turitto
on Wednesday, 15 June 2011
in HyperVolatility
Vito Turitto
Vito Turitto is a volatility trader. He trades volatility as an asset class and
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E-Mini Crude Oil market moved higher in the first half of the week and then retraced in the second half transforming a bullish week in a sideways one. In fact, the market opened at $ 98.8 rose to $ 99.1 on Tuesday, moved higher to 101.8 on Thursday and sharply dropped to $ 99 on Friday
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The actual volatility is 1.9% (30.1% in annual terms) and the curve has now touched the equilibrium point which is stable around the 1.6% area (25.3% annualised) whilst the TGARCH plot is displaying a fairly stable situation where the fluctuations are quite constant and not high.
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