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

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

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Tuesday 02/07/12 – Key Futures Trading Levels via CME Pit IQ

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

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Friday 12/23/11 – Key Futures Trading Levels via CME Pit IQ

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Wednesday 12/21/11 – Key Futures Trading Levels via CME Pit IQ

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The VIX was expected to rise in value and the big gap up between the 3^rd of June closing and the 6^th of June opening proved our forecast were correct. The market opened at 18.4% dropped to 18% on Tuesday, rallied to 18.7% on Wednesday whilst it plummeted once again to 17.7% on Thursday and closed to 18.8% on Friday.

The volatility is now at 6.8% (23.5% monthly) and the plot is displaying a curve which is “about” to hit its equilibrium point at 4.5% (15.5% monthly) and consequently to terminate the mean reverting process.

The bullish forecast we gave you the last week proved to be very good and precise because the VXN opened at 19.5% (which was our initial target) it touched 19.9% on Wednesday, it plunged to 19.1% on Thursday and closed at 19.5% on Friday

The volatility of the VXN Index at first rose and achieved 9% (31.1% monthly) but in the very last part of the week it suddenly began to drop and mean revert toward the equilibrium point which is still stable around the 4% area (13.8% monthly).

We warned our readers against a short term explosion of the volatility and effectively so it happened, although our overall forecast on the S&P500’s implied volatility index was bearish.



In fact, the VIX opened at 15.4% rose 18.09% on Thursday and settled at 17.95% on Friday and even if we were expecting a move in the 20% area we can always say this is a good start.

The current volatility is 8.8% (30.4% monthly) and the TGARCH curve is now slightly downward sloping but, even in this case, the decrease in the conditional variance has been primarily caused by a sideways movement of the VIX rather than an effective recovery of the price action.

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 we gave you a 2 way scenario where in the 1^st case we would have seen a short term explosion of market fluctuations whilst in the 2^nd a fairly stable and dropping volatility situation was described. Apparently, the 2^nd forecast turned out to be the most relevant one. In fact, the VXN Index opened at 19.21% dropped to 18.16% on Wednesday and settled at 19.21% on Friday.

The current volatility is 5.7% (19.7% monthly) and the TGARCH plot is showing a continuous and persistent condition in which the conditional variance is low and trading within a very narrow range.

The VIX Index moved almost like the VXN and rather than showing an augmented activity, the last week was merely a lateral one. In particular, the market opened at 18.2% dropped to 16.2% on Wednesday but 17.4% was the closing price registered the last Friday.

The volatility is now 4.1% (14.2% monthly) and the TGARCH plot is showing a curve which is not really far from where we left it one week ago because the sideways movement which hit most equity markets kept the conditional variance extremely low.

The VXN was expected to rise but the conditional variance of the implied volatility index did not move much from where it was the last week and the TGARCH plot is clearly displaying the aforementioned scenario.

The volatility is now around 4.8% - 5% (16.6% - 17.3% monthly) and the         curve is clearly downward sloping and during the upcoming days the variance could collapse and retest 4% (13.8% monthly) which is the equilibrium point but once touched this level it would not be surprising to see a further increase.

The VXN Index went through an extremely choppy week where the sideways movement was the leading “feature” of the implied volatility of the Nasdaq Index. Specifically, the VXN opened at 18.3% dropped at 17.1% on Thursday but it suddenly rose to 18.3% on Friday.

The actual volatility is around 4.3% (14.5% monthly) and the TGARCH curve is now displaying a downward sloping curve which is clearly trying to complete the mean revert process and settle around the 4% level ( 13.8% monthly).

The last week we forecasted a further drop of the VIX Index and we were right once again. The implied volatility index opened at 15.7% dropped to 15.3% and then closed at 14.7% on Friday.      

The current volatility is 5% (17.3% monthly) and the TGARCH curve seems suggesting an ulterior drop of the VIX Index which, should that be the case, would bring, the market in the 12.5% - 13% area.

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.

The VIX Index went through a quite bearish week although the closing price on Monday was 16.9% whilst Saturday the 15^th the Index bottomed at 15.3%. In particular, after the increase, which has been mainly caused by the American debt problems, the VIX began to drop and touched 15.07% on Wednesday whilst 14.69% was the closing price on Thursday.    

  

The volatility of the VIX is around 6.8% (23.5% monthly) and the chart of the TGARCH curve is still displaying a decreasing process which is probably going to end soon but that will bring the conditional variance of the implied volatility index back into the 4% - 4.5% equilibrium area (13.8% - 15.5% monthly).

The great drop that pushed the Nasdaq Index down the last Monday did not really affect its implied volatility Index whose fluctuations continued to decrease constantly over the last days. In fact, the VXN opened at 18.4%dropped to 16.4% and closed at 15.8% on Thursday.

The actual volatility is 4.1% (14.2% monthly) and the slope of the curve is clearly signalling that the conditional variance of the VXN Index has now touched the bottom and that it will probably remain stable over the next trading days.

The last week we were expecting the VIX to plummet into the 16.5 % - 17% area and the HyperVolatility team was right once again. Specifically, the VIX was trading at 16.5% on Monday but it dropped to 16.9% on Wednesday and closed even lower at 15.3% the last Friday.                                      

The actual volatility is 4.5% (15.5% monthly) but, like for the VXN Index, the volatility touched the mean reverting point and the decrease was too “calm” and too fast.

The last week we were bearish on the VXN Index and our analysis proved accurate once again. In fact, the market opened at 19.09% dropped to 18.5% and closed on 17.48% on Friday.                   

     

The actual volatility has now achieved the bottom and it is currently trading around 4% (13.8% monthly). However, the decrease in the VXN was quite smooth and without short term retracements that make the current figure both quite suspicious and unstable.

The implied volatility Index did not perform as well as we thought because the last week we forecasted a further drop of the VIX in the 16.5% area and until Thursday our analysis proved accurate but on Friday the Index rallied to 17.87% changing the scenario and transforming a bearish week in a moderately bullish one.   

Conversely, the volatility of the VIX did not change much because the TGARCH plot is still displaying a downward sloping curve which is now 5% -5.2% (17.3% - 18.3%monthly) and the mean reverting process is now very close to the equilibrium point placed around 4% - 4.5% (13.8% - 15.5% monthly).

The bearish view we had on the VXN Index paid off, although we were expecting a more robust movement, since the market opened at 20.05% dropped to 19.32% and closed at 19.76% on Friday.  

The current volatility of the VXN Index is 5.3% - 5.6% (18.3% - 19.4% monthly) and the TGARCH curve shows, once again, a downward sloping curve which is probably going to bottom around 4% - 4.5% (13.8% - 15.5% monthly).

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 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.