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DJ EuroStoxx50 Futures Volatility Forecast (13/02/2011)

The last week we forecasted a market price near to the 3,030 points and Friday’s closing price was 3,042. The staff of HyperVolatility was correct once again.

The volatility is now around 0.8% (12.6% in annual terms) which is its equilibrium point and it seems that the TGARCH curve is downward sloping   emphasising the fact that the bullish movement of the DJ EuroStoxx50 futures could continue to head north even in the upcoming days.

On the other hand, a retracement should not be considered as a remote probability event because the volatility is quite low and, although fluctuating around its balance level, a retracement of the European Index could occur any time.

The staff of HyperVolatility remains moderately bullish on this market and we genuinely think that the price will hit the 3,050 zone soon. However, we remain quite sceptical about the strength of this uptrend because a short term drop could surprise many investors and wipe out their returns.

DJ EuroStoxx50 Futures Volatility Forecast (06/02/2011)

The advice we gave you last week to keep going long on the DJ EuroStoxx50 Futures was not only right but extremely profitable since the Index went from 2,968 to 3,013.

The volatility plot clearly shows a big spike that achieved 2.2% (34.9% annualised) and then plummeted to 0.9% (14.2% in annual terms) in a fairly short period of time and it would appear that the decrease should bring the volatility to touch 0.7% (11.1% in annual terms).

The Index should therefore continue to rise, even if the strength of bulls will be quite constrained, and by the end of the week the price should get into the 3,030 zone. However, the Non-Farm Payroll figures release should be accurately monitored since such data could easily change the “picture” in a matter of few seconds.

The staff of HyperVolatility is moderately bullish on DJ EuroStoxx50 futures and recommends you to look for a convenient price to place some longs.

DJ EuroStoxx50 Futures Volatility Forecast (01/02/2011)

The last week we suggested you to remain long and our forecasts were right until the last Thursday where the price achieved 3,004 points before sharply and unexpectedly drop to 2,941 on Friday.

The volatility curve is now at 0.8% (12.6% annualised) and the TGARCH plot is clearly heading south meaning that the volatility could touch 0.65% (10.3% annualised) which is the lowest value ever achieved by the DJ EuroStoxx50 futures over the last 5 months.

The European index should rise again towards the 2,990 points by the end of the week and stabilise in that area for a while unless better or worse than expected news coming from the US are going to change the situation.

The staff of HyperVolatility is moderately bullish on DJ EuroStoxx50 futures and advises you to keep your long positions going since higher returns should be earned in the upcoming days.

DJ EuroStoxx50 Futures Volatility Forecast (23/01/2011)

The last week we were expecting a drop of the price towards the 2.900 area since the volatility was too low to justify a strong and steady rally over the 3.000 points and effectively so it was.

The actual volatility is 0.85% (13.4% annualised) but the downward sloping curve could indicate that the DJ EuroStoxx50 Index is now ready to break through the 3.000 points. Therefore, the TGARCH curve should touch the 0.6% (9.5% annualised) accompanying the Index in the rally that should bring the price to new highs.

The staff of HyperVolatility, despite the US Job Claims data released on Thursday, is bullish on DJ EuroStoxx50 futures which should continue to rise. We suggest you to look at buying opportunities that should be sold back on Friday.

DJ EuroStoxx50 Futures Volatility Forecast (17/01/2011)

The volatility of the DJ EuroStoxx50 futures is ridiculously low and it touched 0.4% (6.3% annualised) over the last week and such a drop accompanied the great rally of the price which brought the European Index futures to 2,930.

Furthermore, the rise of the DJ EuroStoxx50 futures was clearly backed by the outstanding and surprising demand for Portugal’s sovereign debt instruments and the most astonishing news is that the yields have been lower than expected meaning that the demand was way higher than expected.

Nevertheless, the volatility should rise over the next trading days and curve could touch 0.8% (12.6% annualised) pushing the price down back in the 2870 – 2900 area. Specifically, the rally this market experienced was too fast, without mid-term retracements, which usually confirm the steadiness of a trend, and the drop in volatility was so violent that the market fluctuations rate touched a new 5 months low.

The staff of HyperVolatility suggests to look for short opportunities and to monitor constantly the position because the uncertainty is still a strong feeling amongst investors despite we are in the middle of January.

DJ EuroStoxx50 Futures Volatility Forecast (19/12/2010)

The last week we forecasted an up movement of the price and effectively so it was but the failure to remain in that area significantly changed the environment. In fact, the DJ EuroStoxx50 futures dropped back to 2,829 and the TGARCH plot is now showing a slightly upward sloping curve around 1% (15.8 % annualised).

The DJ EuroStoxx50 should continue to fall and readings around 2800 are not far from being touched before Friday. Consequently, the volatility is likely to rise and achieve 1.3% (20.6% annualised) but the curve could be pushed up until 1.5% (23% in annual terms) if the panic starts to spread.

Why the DJ EuroStoxx50 is going to fall? Many investors are willing to bank the profits gained from the latest rally of the Index and, since the price failed to break through the 2900, it means that, at least at the moment, the market does not have the power, the strength and the will to head higher. The drop we saw during the last days is a signal that many fund managers, traders and investors are selling back their longs.

The staff of HyperVolatility advises you to close your longs and start looking at the short side of the market because if the price does not drop it will trade sideways until the end of the year but a strong rally towards the 2,900 ,given the current situation, is highly improbable.

DJ EuroStoxx50 Futures Volatility Forecast (13/12/2010)

The last week we forecasted a movement of the DJ EuroStoxx50 futures prices around the 2850 area and the price hit 2854 on Friday!!!

The volatility dropped to 1.2% (19% annualised) as forecasted whilst the TGARCH plot is displaying a curve which is downward sloping and therefore highlighting an ulterior decrease of volatility which is going to push prices higher.

This week the DJ EuroStoxx50 futures should head north again and the price is likely to hit its highest value for the year at 2900 by the end of the week whilst volatility should drop to 1% (15.8% annualised).

The price should not move violently and therefore a calm and gradual rise is more likely to happen. The staff of HyperVolatility advises you to keep your long positions going because a retracement of the market should not occur this week.

DJ EuroStoxx50 Futures Volatility Forecast (05/12/2010)

Everything we forecasted the last week really happened!!! The price achieved the 2790 -2800 area but the beginning of the week saw a heavy drop which turned the last days in a very volatile and sideways week.

The drop that the volatility had in the DJ EuroStoxx futures is tremendous. The curve went from 1.6% (25% annualised) to 0.9% (14% in annual terms) in a few days and the price was driven back to 2790-2800 as correctly forecasted the last week.

The volatility will probably rise again because such a sharp and fast drop in a relatively short period of time is unusual and therefore we are expecting some very short term retracements.

On the other hand, the great response that equity markets had to the Non-Farm payroll figures significantly surprised us and we believe that the DJ EuroStoxx could seriously head north during the end of the next week. Consequently, prices should achieve 2850 and fluctuate around that area.

DJ EuroStoxx50 Futures Volatility Forecast (28/11/2010)

Once again HyperVolatility managed to forecast quite accurately the DJ EuroStoxx movements. The downtrend has now reached its “top” and it appears that a sideways week is ahead of us.

The volatility is around 1.8% (28.5% annualised) and it is quite probable that the index will go through a narrow trading range during the next week. This is a great opportunity to bank your profits and buy back your long positions.

The TGARCH volatility should get back to 0.9% – 1% (14% – 15% annualised) whilst the price should remain almost stable in the range 2700 – 2750. The staff of HyperVolatility advises you to remain flat this week or to trade intra-day.

Nevertheless, this week particular caution is needed because the Non-Farm Payroll, Jobless claim and Bernanke’s speech are powerful market movers and slightly better than expected news could drive the price back up to 2800.

DJ EuroStoxx50 Futures Volatility Forecast (22/11/2010)

The European Futures Index is going through a great period of uncertainty. However, we still think that volatility is too low and that an explosion of the last one could drive prices even more down.

The TGARCH plot shows estimations around 1.2% (19% annualised) and it would not be surprising to see the volatility increasing to 2.2% (34% in annual terms) that would accompanied a drop of the market.

The staff of HyperVolatility remains bearish on the DJ EuroStoxx50 futures index in the long run.However, if the price does not decline a sideways movement is highly probable until the end of the week.

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