Euro Futures Volatility Forecast (20/02/2011)

The last week we were expecting Euro futures to touch the 1.37 area and so it was. The staff of HyperVolatility was right once again and efficiently managed to “predict” the further depreciation of the dollar against the European currency.

On the other hand, the fact that the volatility plot rose to 0.83% (13.1% annualised) is, once again, a warning signal. Specifically, the volatility should have decreased in value rather than rallying in such a way highlighting that the surge was not completely stable and clear as someone would expect it to be.

Consequently, a drop in volatility could not be interpreted as a bullish signal but as a sideways indication. The plummet is probably going to accompany a lateral movement of Euro futures which should stabilise around the 1.35 zone even if a down trend should manifest before the end of the week.

The staff of HyperVolatility remains flat for this week but we will try to place some shorts as the market begins to drop. In addition, the macro news from US should bring a higher rate of market fluctuations.

Euro Futures Volatility Forecast (13/02/2011)

The price achieved 1.37 as we managed to forecast the last week but Euro futures did not manage to break through this threshold and therefore bounced back into the 1.35 area.

The volatility plot shows a curve which is around 0.85% (13.4% annualised) and it is downward sloping, hence, the next trading days should see a diminishing intensity of market swings which could favour a short term recovery of the price.

Specifically, the TGARCH curve should touch 0.65% (10.3% annualised) by the end of the week and it is likely for the price to get back in the 1.37 – 1.38 area.

The staff of HyperVolatility is still bullish on Euro futures and we will look for a favourable price to place some longs because the plummeting volatility curve should sustain Euro futures in this area.

Euro Futures Volatility Forecast (06/02/2011)

The last week the staff of HyperVolatility suggested you to place shorts because the volatility would have increased and dragged the price down and so it was. Specifically, the price bottomed 1.3584 on Friday and hit the 1.35 target forecasted in our analysis 1 week ago.

On the other hand, this week seems things have turned the way round since the high volatility fluctuations which topped at 0.84% (13.3% annualised) are now decreasing and the TGARCH curve should get back to 0.65% (10.3% in annual terms) by the end of the week.

In other words, the drop in market fluctuations highlighted by the chart should favour a recovery of the price which could rally back into the 1.37 zone.

The staff of HyperVolatility suggests you to go long Euro futures and hold the position until the next Friday. However, the Non-Farm Payrolls data could twist the situations and maximum attention will be needed.

Euro Futures Volatility Forecast (01/02/2011)

The last week we were expecting an up movement of the price but our forecasts have been confirmed until Friday when the price dropped considerably.

The sharp plunge in price is evident since the volatility curve, which was downward sloping, rallied to 0.84% (13.3% annualised) which is the highest volatility  level ever touched by this market over the last 5 months.

However, the plot seems to suggest that market fluctuations could rise even further over the next trading days dragging the price towards the 1.34 – 1.35 zone.

The staff of HyperVolatility is bearish on Euro futures, at least for this week, and advises you to look for short opportunities or alternatively to close out your longs.

Euro Futures Volatility Forecast (23/01/2011)

The last week we forecasted a sharp drop in volatility and a consequent further rise of the price and our forecasts have been confirmed. The staff of HyperVolatility was right once again and managed to predict with great accuracy the hitting of the 1.35 area.

The actual volatility is 0.75% (11.9% annualised) and the great stability that the volatility plot has now indicates that in the upcoming days we will have a further rally of the price which could hit the 1.38 area by the end of week.

However, the Initial Job Claims and the Core Durable Goods Orders data that are going to be released on Thursday could shift things around and increment the volatility driving the price back into the 1,34 area.

The staff of HyperVolatility remains bullish on Euro Futures, at least for this week, and advises you to keep your long positions going since more returns are going to be earned in the upcoming days but special caution is needed on Thursday.

Euro Futures Volatility Forecast (17/01/2011)

The volatility for the Euro futures is dropping fast and the recent surge in price experienced by this market would suggest that the up movement is steady and is not over yet.

The great success of Portugal’s bonds auction increased the confidence of investors towards Euroland and the sudden rise in euro futures prices is simply the graphical representation of such a phenomenon.

The current volatility is 0.76% (12.06% annualised) but it is likely that, by the end of the week, we would have figures around 0.58% – 0.6% (9.20% – 9.52%) which would consequently drive the price up in the 1.35 – 1.38 area.

The staff of HyperVolatility suggests you to go long this week and join the euphoria that is now hitting the Euro zone because it is unlikely to last long. The last weeks have been practically useless to determine a medium term trend due to the ridiculous volume in the market and therefore we advise you to be very careful.

Euro Futures Volatility Forecast (19/12/2010)

The last week we forecasted a further drop of the price and once again our forecast proved profitable since the price of Euro futures went from 1.33 to 1.31.

The volatility is almost where it was the last week due to the initial drop that kept the price high before collapsing during the last trading days but the TGARCH plot highlights an upward sloping curve which could easily achieve 0.8% – 0.85% (12.6% and 13.4% respectively in annual terms).

Consequently, the price should touch 1.30 by the end of the week and such a decrease is likely to happen since the end of the year and the great panic surrounding the Euro zone can significantly influence market prices.

The staff of HyperVolatility suggests you to keep shorting futures or at least not to buy back your shorts and wait for the end of the week.

Euro Futures Volatility Forecast (13/12/2010)

The Euro is still in the middle of a storm and this could push away many investors from this market.

The volatility curve is clearly upward sloping and the current estimation 0.68% (10.7% annualised) should increase to 0.85% (13.4% annualised) by the end of the week driving down the price towards the 1,25 area.

The appreciation of the dollar is more likely to happen in the long term, given the current economic situation in Europe, and therefore the staff of HyperVolatility suggests you to go short on Euro futures since a great rise in volatility is expected to occur soon. In fact, at the beginning of the new year should not be surprising to see estimations around 1% – 1.1% (15.8% – 17.4% annualised).

Euro Futures Volatility Forecast (05/12/2010)

Euro Futures had a sideways week as correctly forecasted the last one but the rally we saw in the last 2 trading days’ session is a consequence of the Non-Farm payroll figures and not due to “market sentiment”.

The drop in volatility to 0.7% (11% annualised) is likely to be temporary and the curve should get back to 0.9% (14%annualised) which has been the average figure in the last 5 months.

The Euro zone is far from being safe because the sovereign debt problems are likely to keep the scepticism of investors quite high. Ireland, Portugal and Spain are still the most cited countries in the financial press and this can easily keep down the price of Euro futures. Also, the macro-economic news released in the USA can significantly influence this market because a recovery of the dollar could push down the price in the 1.28 area

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.

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