Euro Futures Volatility Forecast (28/11/2010)

As correctly forecasted the last week the euro dropped sharply and the TGARCH volatility plot visibly represents the great market fluctuations.

The volatility is now around 0.7% (11% annualised) and it appears that it will get back to 1.1% (17.5% annualised) driving the market towards the 1.25 area.

The recent announcements, the great fear for Ireland’s default, the concerns about a potential contagion to Portugal and Spain put euro under heavy pressure the last week. Consequently, many investors could reverse their long positions and start buying dollars in order to bank the gains accrued so far and start betting over recent news and Ireland’s S&P downgrading.

The staff of HyperVolatility suggests to pay attention to possible market drops in order to reinforce your short positions. Nevertheless, it is crucial keeping an eye to Fed and particularly to the ECB intervention on interest rate due on Thursday which could again change the scenario.

Euro Futures Volatility Forecast (22/11/2010)

The Euro futures market is still experiencing a sideways movement and the TGARCH volatility plot clearly displays the absence of upward volatility explosions.

On the other hand, volatility readings around 0.8% (12.5% annualised) are still too low and we believe that an imminent augment could drive the market down in the 1,25 area.

The great concerns about Ireland and Portugal could push investors towards safer investment solutions (read dollars) causing a sudden raise in volatility and a consequent drop of the market.

The staff of HyperVolatility strongly suggests you to sell your long positions and stay away from this market until sovereign debt fears will diminish.

Euro Futures Volatility Forecast (13/11/2010)

The Euro Futures market is at the beginning of a down trend. We have been advising investors to close out longs for the last 2 weeks and indeed the price fell from 1,41 to 1,36 but we think Euro Futures have still a long way down before finding a solid support level.

The TGARCH volatility shows estimations quite close to 1%  but we have not seen a real explosion yet and therefore an augment in volatility is more likely to happen than an ulterior drop to 0.4% (6.5% annualised).

The euro is likely to depreciate against the dollar, hence, a drop in the futures market is more than a simplistic and approximate forecasting. The remaining month and a half before the end of the year will see a choppy market and the probability for this market to fall are much higher than the occurnence of an ulterior rally to unrealistic values close the 1.45 – 1.50 area.

Euro Futures Volatility Forecast (07/11/2010)

The volatility of the futures on the Euro is clearly signalling an augment of the variance. The drop forecasted 2 weeks ago was just the beginning of the retracement and we believe the TGARCH volatility could easily achieve readings around 1.5% – 2%.

The interest rate announcements and the QE2 programme strengthened the dollar against the euro which consequently plummeted from 1.420 to 1.405. The volatility seems to be in an uptrend and therefore the staff of HyperVolatility forecasts an ulterior downward movement of the Euro Futures prices which could be driven down to the 1.390 area.

We suggest to look for short opportunities and to carefully monitor this market because fast swings are quite likely to happen.

Euro Futures Volatility Forecast (31/10/2010)

The Euro Futures volatility is constantly decreasing even if some signs of weakening seem to threat the upward movement.

The Euro Futures is now trading sideways but we think that the up trend is losing momentum and a retracement is about to happen in the market. In fact, the volatility increased since October began even if its growth has not been constant so far.

The next week the announcements about interest rates in EU and USA and the NonFarm Unemployment figures will be important market movers that surely will shake this market.

The staff of HyperVolatility suggests not to take any long positions on Euro Futures for 2 simple reasons:

1) USA economic situation is recovering at an higher pace than the European one (even if the word recovery is a bit inappropriate since we do not see yet good macro data which could back a robust take off )

2) The Euro is likely to depreciate against the US dollars because many people still consider the last one a sort of safe heaven for their investments and the approaching of the end of the year will push more and more traders and investors towards the seeking of security rather than further last minute returns

Euro Futures Volatility Forecast (24/10/2010)

The Euro Futures is now experiencing a bit of a sideways market and the TGARCH volatility clearly captures this.

However, the volatility is fluctuating between 0.5 % and 1% and it is signalling that the retracement we were talking about the last week could hit the market even the next one.

This is a market that should be carefully watched because during the G20 meeting held on the 23rd of October, many finance ministers declared their will to limit exchange rates fluctuations in order to avoid sharp depreciations due to speculative actions.Hence, the next week we will see how investors and traders are going to react to such an announcement.

HyperVolatility still considers the volatility in this market to be too low.However, a decisive intervention of the ECB or the Chinese Government could seriously affect the Euro Futures market fluctuations.

EUR/USD Futures Volatility Forecast (17/10/2010)

The recent fluctuations that the Euro FX market had in Chicago seems to suggest a sudden change of direction.

The TGARCH volatility is not in a steady downtrend anymore but it started to jump up and down and it appears that a movement towards the 1 % level is on the way. An augment in volatility will  probably signify a downward movement of the market which will inevitably lead to an appreciation of the US dollar against the euro.

However, the next weeks will surely show a great battle between bears and bulls. Particularly interesting is the intervention of the Chinese government which is trying to buy more US dollars in order to keep its export competitive and therefore caution is needed in this market which is tremendously extended and likely to experience a retracement.

EUR/USD Futures Volatility Forecast (13/10/2010)

The Euro vs Dollar Futures traded in Chicago provide investors and traders with information regarding the future fluctuation of the EUR/USD spot market.                     The TGARCH volatility chart plots a “curious” development of the conditional standard deviation. Clearly, the average volatility experienced by this market is around 0.6% and it remained stable over the last 5 months although in June there was a sharp drop which happened to coincide with the lowest value of the Euro against the Dollar (around 1,22). It is important to notice that a decline in volatility estimation should usually drive the market down but this was not the case and such a signal should have been interpreted as a warning. In fact, since then the price dispersion was quite limited within narrow boundaries backing the bulls ,however, a rise in conditional variance is probable to occur. Consequently, a depreciation of the Euro against the Dollar should be expected in the near future.

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