E-Mini S&P500 futures opened at 1,158 on Monday, achieved 1,170 on Tuesday, plummeted to 1,149 on Wednesday, and rose to 1,157 on Thursday but on Friday the price dropped to 1,122 in the last minutes of the trading session.
The current volatility is 2% (31.7% annualised) and the plot is still showing a volatility curve which is trading at very high levels but now moving laterally with a shy downward sloping tendency.
The conditional variance is indeed very high but it is likely that the mean reverting process will start to become more and more “heavy” meaning that the volatility curve will probably tend to mean revert towards the next hours even if it will be unlikely to see a full and complete return to the long term equilibrium point.
The HyperVolatility team is bullish E-Mini S&P500 futures because the softening of the oscillation rate should support the price action which could potentially achieve the 1,180 – 1,200 area by Friday.
Nevertheless, unexpected bad news could drag futures prices back down and this time, should this happen, a retesting of the 1,000 support would be almost inevitable.