GAFNN.com Blog

Online Trading Tool:  Pit IQ (Pit Intelligence) - Daily Online Trader Access to Trading Key Strategies, Setups & Levels live from the CME Trading Floor (Pits) in Chicago.

Tuesday 03/06/12 – Key Futures Trading Levels via CME Pit IQ

Equity Futures:

Online Trading Tool:  Pit IQ (Pit Intelligence) - Daily Online Trader Access to Trading Key Strategies, Setups & Levels live from the CME Trading Floor (Pits) in Chicago.

Monday 02/13/12 – Key Futures Trading Levels via CME Pit IQ

Equity Futures:

We all know and love the gadgets that AAPL, Inc. puts out on a regular basis.  Although I am a PC guy, who does not love the look and feel of the newest IPOD or the user friendly nature of carrying around a sleek IPAD!  These items are not just functional but beautiful and are a status symbol for the cool in all of us.  But you know what, as a technical analyst and trader none of that matters to me.  What matters to me is how the charts shape up and where is the heaviest resistance and support.

So when this tech, nay stock Giant reports this afternoon, usually around 4:30 pm ET I will be nowhere near my computer and trying to trade this thing.  I will let all of the fundamental bullies buy or sell AAPL a million times over and let the stock come to my most important technical levels.

I have a long history of trading this stock, in 2008 alone I traded over 16 million shares of AAPL, and it used to be wonderful to trade after earnings.  Nowadays as the price approached Google-esque numbers, the spreads are too wide, the swings to viscious and the reward:risk ratio just unknowable.

Online Trading Tool: Pit IQ (Pit Intelligence) - Daily Online Trader Access to Trading Key Strategies, Setups & Levels live from the CME Trading Floor (Pits) in Chicago.

Monday 01/23/12 – Key Futures Trading Levels via CME Pit IQ

Equity Futures:

Online Trading Tool: Pit IQ (Pit Intelligence) - Daily Online Trader Access to Trading Key Strategies, Setups & Levels live from the CME Trading Floor (Pits) in Chicago.

Thursday 12/29/11 – Key Futures Trading Levels via CME Pit IQ

Equity Futures:

We were bearish E-Mini Nasdaq futures and we forecasted an end-of-week price around the 2,235 – 2,240: our analysis proved accurate once again. Particularly, futures prices opened at 2,274 plummeted to 2,248 on Wednesday, rose to 2,252 on Thursday and closed at 2,222 on Friday

The actual volatility is 1.4% (22.2% annualised) and the TGARCH curve is undoubtedly extremely high but it appears that the conditional variance is now tending to mean revert and collapse even though the decreasing progression could be quite slow at the beginning.

The last week we were bullish E-Mini Nasdaq futures and our forecast proved right solely in the first 2 days of the week because once the Index achieved the top on Tuesday it started to decline. Specifically, the market opened at 2,333 rose to 2,375 it then plummeted to 2,321 on Wednesday whilst on Thursday it settled around 2,326 but it heavily plunged to 2,287 on Friday.



The current volatility is 1.4% (22.2% annualised) and the TGARCH curve is now displaying a slightly upward sloping curve which seems to be a warning against an augment of market fluctuations over the next trading days.

The uncertainty and fear which influenced equity markets clearly had a remarkable impact on the Nasdaq and the unsatisfactory unemployment figures, contained in a overall negative Non Farm Payrolls, are probably going to keep the hi-tech Index in a non-positive status.

The last week we were bearish the VXN Index but the great deal of uncertainty, the light volume, the bank holiday and the massive amount of macroeconomics news that have been released lifted the implied volatility of the Nasdaq Index. In fact, the VXN opened at 16.4% rose to 18.7% on Thursday and closed at 18.9% on Friday.

The current volatility is 8% (27.7% monthly) and the TGARCH plot is displaying a steep increase of the conditional variance which is followed by a shy drop. However, the plummet that is barely visible at the right hand part of the volatility chart has been mainly caused by the lateral movement of the oscillation rate occurred during the last 2 days of the week.

The last week our bearish expectations have not been met and therefore we did not enter the market at all. In fact, E-Mini Nasdaq futures opened at 2,315 dropped to 2,309 on Wednesday but Thursday and Friday saw a steady and sharp recovery of the price in fact 2,326 and 2,333 have been the last 2 closing prices before the end of the week.

The actual volatility is 0.97% - 0.98% (15.3% - 15.5% annualised) and the TGARCH curve is aggressively downward sloping highlighting the fact that the up move in futures prices was robust and steady.

The Nasdaq Index, like many other equity indices, moved sideways and we managed to “capture” that movement in our previous’ week analysis although we were expecting a stronger bearish movement around Thursday or Friday. Specifically, the market opened at 2,334 rallied to 2,367 on Thursday and it dropped back to 2,345 on Friday.

The actual volatility is 1.98% (31.4% annualised) and the TGARCH plot is displaying a downward sloping curve which normally we would interpret as a bullish signal but in the reality the drop in the conditional variance has been obviously caused by the lateral movement of the price action.

E-Mini Nasdaq futures were expected to rise but the massive drop in commodity markets pushed down most of the world equity indices including the Nasdaq. The market opened at 2,387 rose to 2,408 on Tuesday, on Wednesday it plummeted to 2,393 but on Thursday it rallied back to 2,408 and it closed at 2,371 on Friday: a really choppy week!!!  

The volatility is around 0.78% - 0.8% (12.3% - 12.6% in annual terms) but the TGARCH plot is now displaying a downward sloping curve which should be carefully interpreted. The conditional variance has been trading in its lowest level for almost 1 month and it is reasonable to wonder: is this going to last forever?

The 2,385 points profit target we had the last week has been achieved in the first day of trading and our analysis proved very useful once again. E-Mini Nasdaq futures opened at 2,385 rose to 2,402 and closed at 2,407 on Friday. An excellent trade indeed!!!  

The volatility is now 0.61% (9.6% in annual terms) but the slope of the curve seems suggesting that the next trading days will be quite volatile because, at this point, a further increase of the conditional variance is far more statistically probable than an ulterior drop.

The HyperVolatility team was right once again!!! We were expecting a further drop of the implied volatility of the Nasdaq Index and effectively so it was. Specifically, the market opened at 17.2% dropped to 16.2% but closed at 16.5% on Friday.

 

The current volatility is 5.1% (17.6% monthly) and the TGARCH plot is displaying a downward sloping curve highlighting the fact that a further decrease of implied volatility could characterise the first days of the week.

E-Mini Nasdaq futures on Monday closed at 2,291 whilst the closing price on Saturday the 15^th was 2,310: a sharp drop indeed!!! The market then recovered and got back to 2,310 but the ending of the week experienced one of the most violent rallies over the last 5-6 months because E-Mini Nasdaq futures rose to 2,355 on Wednesday and closed at 2,373 on Thursday.                  

The actual volatility is 0.48% - 0.5% (7.6% - 7.9% annualised) and its value is even lower than the equilibrium point which is set around 0.65% (10.3% in annual terms) implying that the next days will probably see a shy augment of market fluctuations because the curve will try to mean revert.

The HyperVolatility team forecasted a sideways movement of the Index and our analysis was once again as accurate as useful.

Particularly, E-Mini Nasdaq futures opened at 2,309 dropped to 2,292 in the first 2 days but a further rise brought prices back to 2,309 and, although on Thursday the Index plummeted once again to 2,301, the closing price hit 2,310 on Friday. Indeed, a very choppy week.

E-Mini Nasdaq futures unexpectedly dropped over the last week dragging the price back into the 2,320 area despite the volatility plot remained practically unaltered.

Specifically, the actual volatility is around 0.73% (11.5% annualised) and the TGARCH curve does not suggest any potential rise in the conditional variance over the next trading days. On the other hand, the price drop we had the last week was not accompanied by a surge of market fluctuations meaning that many investors did not probably liquidate all their long positions.

The last week we forecasted a rise of E-Mini Nasdaq futures towards the 2,330 -2,335 and indeed the closing price on Friday was 2,337 points. Furthermore, we predicted a mean reverting movement of the TGARCH curve in the 0.5% area (7.9% annualised) and an immediate stabilisation of market rate fluctuations once this level had been achieved: the volatility is now at 0.58% (9.2% in annual terms).

The TGARCH plot is now displaying a stable curve and it is reasonable to believe that such fluctuations will remain unaltered for the rest of the week although a short term augment of volatility could bring a bit of uncertainty in the price action.

The staff of HyperVolatility was right once again!!! The Nasdaq was expected to rise sharply and indeed the American hi-tech Index performed extremely well over the last trading week.

The volatility plot is a perfect example of how sharp, powerful and fast the rise was: the TGARCH curve is now at 0.1% (1.5% annualised). The volatility touched its 5 months low and therefore the next trading days will clearly see an augment in the market fluctuations rate which could revert to 0.5% (7.9% in annual terms) by the next Friday.

The last week a drop in VXN volatility was forecasted by our staff and indeed we have seen the index opening at 23.82%, dropping to 20.59% and closing at 20.78% the last Friday. HyperVolatility was right once again.

The volatility of the VXN Index is now fluctuating around 7.7% (26.6% monthly) and the TGARCH plot seems suggesting a further plummet of the conditional variance in the upcoming trading days.

The 2.270 area we thought would have been touched the last week has been clearly surpassed by the market which closed at 2,226 on Friday. Our forecasts have been very useful and more importantly very profitable once again.

The current volatility is 2.4% (38% annualised) but the TGARCH plot is clearly displaying an unstable situation because such a high volatility rate will probably tend to mean revert over the next trading days.