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DJ EuroStoxx50 Futures Volatility Forecast (02/05/2011)

The last week we were expecting a rise of the Index, our profit target was set to 2,890 points and our analysis proved very profitable once again. In particular, the European Index opened at 2,890 rose to 2,949 but closed at 2,951 on Friday.

The actual volatility is around 0.8% (12.6% annualised) and the curve is now showing a fairly stable scenario which could remain unaltered over the next trading days.

On the other hand, the volatility is extremely low and since the curve is now fluctuating within the mean reverting point a short term explosion of the conditional variance could easily twist the situation and push futures prices down.

The HyperVolatility team is moderately bearish on the DJ EuroStoxx50 because an augment of market fluctuations could bring the price back into the 2,915 – 2,920 area.

We will wait for the volatility to increase and pass the 1% level (15.8% in annual terms) before entering the market but should this scenario not be confirmed by the market we will step aside and monitor the market waiting for the next week.

DJ EuroStoxx50 Futures Volatility Forecast (24/04/2011)

The great retracement we forecasted the last week really occurred but this time the main catalyst was the sharp drop of the S&P500 Index caused by the great concerns about the American debt.

The actual volatility is around 1.3% (20.6% annualised) and the curve is clearly collapsing towards its equilibrium point which is around 0.8% (12.6% in annual terms) implying that the up move the market experienced from Tuesday onwards is quite stable and likely to continue over the upcoming trading days.

The main reason the European Index collapsed was due to the American debt current situation but a quick drop of the conditional variance soon after the great plummet of futures prices means that many investors did not get rid of their long positions and still believe that higher returns are to be gained.

The HyperVolatility team is bullish on DJ EuroStoxx50 futures and we will place some longs immediately because it is quite likely that the Index is going to break through the 2,880 points and eventually achieve 2,890 by the end of the next week.

However, we will constantly monitor the volatility because this is week is going to be pretty uncertain despite the fact that the conditional variance is signalling a robust and fairly stable price action.

DJ EuroStoxx50 Futures Volatility Forecast (18/04/2011)

The chart displays a volatility curve which significantly surpassed the 0.85% (13.4% annualised) figure at which we said we would enter our short positions and effectively our forecast proved profitable once again because the retracement we were expecting manifested itself and we managed to capture it. A great trade indeed!!!

The actual volatility is around 1.1% (17.4% in annual terms) and although the TGARCH curve is now downward sloping we believe that the down move is not over yet.

Specifically, the volatility curve has been flat for almost 3 consecutive weeks and that is why is quite probable that more fluctuations are going to hit the market over the next trading days.

Furthermore, the drop in volatility which is displayed on the right hand side of the chart occurred way too quickly if we consider that the last Monday the Index opened at 2,895 dropped to 2,861 and closed at 2,848.

Also, the diminishing market fluctuations that are shown in the very last part of the chart are mainly due to a sideways movement of futures prices which traded around 2,850 and 2,848 before the end of the week rather than to a strong recovery.

The HyperVolatility team remains bearish on DJ EuroStoxx50 futures and we will place some short as soon as possible because the European Index should drop in the 2,730 area by the next Friday.

DJ EuroStoxx50 Futures Volatility Forecast (10/04/2011)

The last week we were expecting DJ EuroStoxx50 futures to achieve 2,900 points and the HyperVolatility team was right once again. Particularly, the market opened at 2,888 rose to 2,901 and closed at 2,899 on Friday. A very successful trade!!!

The actual volatility is around 0.6% (9.5% in annual terms) but the TGARCH curve is back in the equilibrium point and looks extremely flat suggesting that the recent up move of the Index could be now exposed to some sideways play or short term retracements.

On the other hand, the European Index should be favoured from such a low conditional variance measurement and it should head north once again over the next trading days, although the higher it goes the higher is the probability of a trend “adjustment”.

The HyperVolatility team remains bullish on DJ EuroStoxx50 futures and we will buy some futures as long as the TGARCH curve remains unaltered because in this case we believe that the 2,930 level could be achieved, even if our stops will be extremely tight.

Nevertheless, we know that the volatility has now touched the bottom and in order not to burn the profits accrued during the recent weeks we will enter some shorts as soon as the conditional variance will touch the 0.85% – 0.9% area (13.4% – 14.2% annualised).

DJ EuroStoxx50 Futures Volatility Forecast (03/04/2011)

The HyperVolatility team was right once again!!! The DJ EuroStoxx50 futures opened at 2,825 achieved 2,850 by Thursday and then sharply rose to 2,878 on Friday even if we were expecting a much robust rise.

The volatility touched its balance point at 0.8% (12.6% in annual terms) and it is likely that the curve will remain stable around this level throughout the next trading days consolidating the gains accrued so far.

DJ EuroStoxx50 futures should head north once again during the next week and achieve 2,850 – 2,900 by Friday whilst the TGARCH curve should remain almost stable around this level, although some short term weak augment could bring the conditional variance towards the 0.9% – 0.95% area (14% – 15% annualised).

Specifically, the 2,890 – 2,900 zone proved to be a vigorous resistance and therefore the above mentioned increase in the market fluctuation rate could coincide whit the achieving of this price level.

The staff of HyperVolatility remains bullish on this market and we will be placing some longs as soon as the market opens but we will monitor very closely our positions once the “danger zone” will be approached. 

DJ EuroStoxx50 Futures Volatility Forecast (27/03/2011)

The last week we entered some longs because we forecasted a sharp rise in DJ EuroStoxx50 futures and effectively the market closed at 2,834 whilst our expected value was 2,850 -2,900 points.

The volatility curve is still downward sloping and it is around 1.5% (23.8% in annual terms) but it is quite likely that the drop of the conditional variance will continue even in the upcoming trading days because the mean reverting process will end towards the 0.8% zone (12.6% annualised).

Consequently, the market should keep rising but once the equilibrium point will be achieved the market will probably settle and move in a narrow range. That is why we believe that the 2,900 – 2950 points will be the next week profit target but as soon as the volatility will manage to find support the strength of the up move will diminish dramatically.

The staff of HyperVolatility remains bullish on DJ EuroStoxx50 futures and we will enter some long positions as soon as the market will open. However, we will constantly monitor market volatility because a too fast drop of the conditional variance will obligate us to tighten our stops.

DJ EuroStoxx50 Futures Volatility Forecast (21/03/2011)

We thought the market was going to touch 2,820 points but the short position we entered the last week proved twice as profitable because the market plummeted to 2,706 on Friday.

Our readers have surely benefited from our forecasts and we hope that our analysis helped you to gain some more returns.

The actual volatility is 2.4% (38% annualised) but the TGARCH curve touched 2.7% (42.8% in annual terms) during the week and then started to mean revert highlighting that the down movement is probably over.

The volatility is visibly trying to get back to the 1.5% zone (23.8% annualised) and this should be interpreted as an extremely bullish signal because if the down move had not been over yet we would have probably seen an upward sloping curve.

DJ EuroStoxx50 futures should get back to the 2,850 – 2900 area by the end of the week, breaking news from Libya permitting. In fact, investors seemed to have shifted their attentions on the military intervention against Gaddafi.

The staff of HyperVolatility will place some long positions because the market should recover fast in the upcoming days. However, we will closely watch our positions and the stops will be quite tight because the situation is still precarious.

DJ EuroStoxx50 Futures Volatility Forecast (14/03/2011)

The Index is now really volatile and the TGARCH plot is clearly showing a curve which is sharply upward sloping. The European Index dropped in the 2,880 area and there are no, at least at the moment, evident signs of a recovery.

The market is going through a retracement period and we strongly believe that even this week is going to be quite bearish because the concerns about Japan’s recovery and Japans’ oil demand are going to push prices even lower than what a systematic retracement would normally do.

The volatility is probably going to touch 1.6% (25.3% annualised) whilst DJ EuroStoxx50 futures will plummet and touch 2,820 points by the end of the week.

The staff oh HyperVolatility is extremely bearish and we will try to place some shorts in order to profit from such a falling market.

There could even be some attempts to bring the price back up again but even the most optimist buyer, after the natural disaster which hit Japan, is now reconsidering its view of the market.

DJ EuroStoxx50 Futures Volatility Forecast (27/02/2011)

The last week the DJ EuroStoxx50 dropped quite sharply but such a phenomenon did not really surprised our readers since the last week we wrote that a retracement was on its way and about to hit the market.

Although we wrote we were moderately bullish, as soon as the market opened at 3,013 we entered some short positions because the volatility exploded and achieved 1.9% (30.1% in annual terms).

The current TGARCH curve is fluctuating around1.3% (20.6% annualised) but it is evident that the volatility is mean reverting to its stability point which is at 0.8% (12.6% annualised). Such an occurrence is probably going to drive the price back up again and the 3,010 -3,020 points should be soon touched by the Index. The staff of HyperVolatility remains bullish on DJ EuroStoxx50 futures since the decreasing market oscillations signal that the down move is now over and that the price is about to recovery. Nonetheless, this week agenda is particularly heavy and we will monitor very closely our positions.

DJ EuroStoxx50 Futures Volatility Forecast (20/02/2011)

The 3,050 points target, we gave you last week, has been reached and surpassed since the market closed at 3,070. HyperVolatility was right once again and we all hope you took advantage of our forecasts in order to increase your portfolio returns.

The current volatility is around 0.7% (11.1%in annual terms) whilst the equilibrium point is almost 0.8% (12.6% annualised). However, the recent and violent augment of price, which made the volatility to collapse, seems to be running out of steam.

The TGARCH plot is neither upward nor downward sloping but it displays a pretty calm situation which could favour a slow surge of DJ EuroStoxx50 futures which could potentially touch 3,075 – 3,080 points by the end of the next week.

The staff of HyperVolatility is again moderately bullish on this market and will place some longs but the more the DJ EuroStoxx50 goes up the higher the likelihood of a retracement. We believe that the current up movement is extremely close to an end and therefore we will keep going long but with a quite strict stop loss. It is worth remembering that the US macro news released on Thursday and Friday can change the scenario in a few hours. Be careful!!!

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