Euro Futures Volatility Forecast (24/04/2011)

The HyperVolatility team was right once again because the 1.43 profit target we forecasted the last week has not been simply hit but it has been heavily surpassed making our analysis even more profitable and useful than what we thought in the first place.

The market opened at 1.4215 rallied to 1.4501 on Wednesday and 1.4531 was the closing price on Thursday: a wonderful trade!!!

The volatility is now extremely low and the decrease was clearly caused by the sharp rally which brought futures prices in the current level. Specifically, the conditional variance is around 0.47% (7.4% annualised) and statistically speaking there is a very high probability that the week ahead would see an increase in volatility because the curve will try to settle around the 0.53% – 0.55% area (8.4% – 8.7% annualised).

Consequently, the week ahead could experience some higher volatility and the price is going to be irremediably affected by this phenomenon because such an augment should drag futures prices back down in the 1.4350 area.

The HyperVolatility team is moderately bearish on Euro futures because the continuous depreciating process of the US Dollar against the Single currency is going to retrace and such a low volatility measurement is a clear signal that more turbulence is expected in the short term (particularly around the 1.46 threshold should the price gaps up on the opening).

Euro Futures Volatility Forecast (18/04/2011)

Euro Futures were expected to move higher and effectively so it was until the last Thursday when the last attempt to break through the 1.45 resistance failed. However, our forecast proved profitable once again because we warned our reader against a possible retracement in this area and therefore we all hope you benefited from our analysis and closed your longs on Thursday.

The current volatility is around 0.48% (7.6% in annual terms) but the curve seems highlighting an ulterior increase of market fluctuations over the next trading days.

Particularly, the conditional variance has been decreasing constantly over the past 5 months and therefore we expect an explosion in volatility any time soon because the actual situation is quite unstable in the short term and not sustainable in the long run.

Consequently, we believe that the volatility will achieve the 0.55% – 0.58% area (8.7%- 9.2% in annualised terms) by the next week pushing Euro futures towards the 1.428 – 1.43 zone.

The HyperVolatility team is bearish on Euro futures and we will place some short positions as soon as the market is going to open. There might be a small chance that Euro futures will test the 1.448 in the first hours but next week should be quite volatile, hence, bearish.

Euro Futures Volatility Forecast (18/04/2011)

The HyperVolatility team was right once again!!! The Swiss Franc futures prices rose to 112 whilst our expectations were around the 110.5 – 111 area and therefore our forecast earned our readers higher than expected profits.

The current volatility is around 0.64% (10.1% annualised) but the TGARCH curve is once again fluctuating within the equilibrium point although the right hand part of the chart is displaying an upward sloping curve.

Swiss franc futures should keep raising, even if we reckon that a short term retracement is on its way, and it would not be surprising to see a sideways movement of the market once the 112.5 – 112.7 area gets hit.

Specifically, the uptrend that characterised this market remained stable for several months meaning that many investors are still using the Swiss currency to protect their portfolios but a short term drop accompanied by an increasing volatility is not an eventuality to opt out. However, the plummet in price would be predominantly due to the will of some investors to bank in the great profits accrued so far.

Having said that, the HyperVolatility team remains moderately bullish on this market and we believe that, should the volatility remain stable around the current level, futures prices could achieve the 112.5 zone. Nevertheless, the higher the market goes the weaker the price action becomes and therefore our long positions will be protected by tight stops but should the conditional variance curve touch 0.7% (11.1% in annual terms) we would probably start looking for short opportunities.

Euro Futures Volatility Forecast (10/04/2011)

The last week we were bullish on Euro futures since our analysis suggested a further rise of the price which would have achieved the 1.435 area. Once again our forecast proved accurate and precise: the market opened at 1.4199 settled around 1.428 and rallied to 1.446 on Friday. A great trade!!!

The actual volatility is around 0.55% (8.7 annualised) but the TGARCH curve seems suggesting that the next week should not be as volatile as we thought in the first place. Specifically, we believe that the volatility is too low and that an increase in the conditional variance will soon drag down Euro futures prices but the actual stability of the plot highlights the will of many investors to retest the 1.50 resistance level.

The HyperVolatility team remains bullish on Euro futures because the volatility should not augment whilst prices are going to head north once again and achieve 1.455 – 1.46 by the end of the next week. Nevertheless, the 1.45 level could be a strong resistance level and great attention will be necessary when the market is going to get near a breakthrough of that barrier.

Euro Futures Volatility Forecast (03/04/2011)

The HyperVolatility team was right once again. The last week we forecasted a price increase which would have brought Euro futures towards the 1.42 area and indeed so it was because the closing price hit 1.4206.

The volatility is 0.59% (9.3% in annualised terms) and it sensibly rose since the last week but the augment is fairly acceptable if compared to the sharp market movement which pushed Euro futures towards the 1.4206 from 1.4142.

The TGARCH curve keeps highlighting a rather stable scenario which should favour a further increase of futures prices which should achieve 1.435 by the end of the next week. However, the great stability of the conditional variance is not going to last forever and that is why it is wise placing tight stops.

The staff of HyperVolatility remains bullish on Euro futures but we believe that a short term retracement is on his way and should the volatility curve surpass the 0.7% – 0.72% threshold (11.1% – 11.4% annualised) we would probably revert our positions.

Euro Futures Volatility Forecast (27/03/2011)

Our forecasts gave us a bearish view on Euro futures and we were expecting the price to hit 1.405 – 1.41 and so it was. Specifically, the market opened at 1.42 but it then plummeted to 1.41 and fluctuated within a narrow range until the end of the week.

The volatility plot shows a diminishing rate of market fluctuations which has now touched 0.55% (8.7% annualised) but the curve is now looking quite stable even if the very last part is slightly downward sloping.

The US dollar was quite strong this week and many currencies depreciated but the low volatility expressed by the market should imply that Euro futures are ready to head north once again and retest the 1.42 zone once again.

The staff of HyperVolatility remains bullish on Euro futures but great attention is needed because we are very close to a 5 months new high and there could be a bit of “sideways play” before a clear break through shows off.

On the other hand, if the market does not return on its previous level we will remain flat and we will reconsider our volatility analysis the next Friday.

Euro Futures Volatility Forecast (21/03/2011)

Euro futures dropped to 1.39 as we correctly forecasted the last week but as the USA announced its military commitment against Libya investors decided to put their trust and money on the European currency rather than the greenback and this caused the sharp surge in price we saw on Thursday and Friday.

The TGARCH plot is now fluctuating around 0.7% (11.1% annualised) and although slightly upward sloping, the curve got back to the equilibrium point. Consequently, we could see a small appreciation of the single currency against the US dollar but the overall week should not present shocking movements, news permitting.

Furthermore, over the next days the Euro futures should rise to 1.42 and then drop back into the 1.405 – 1.41 area.  The staff of HyperVolatility will closely monitor this market but we will not place any longs because the up move is quite close to be over and consequently we would be happier to take advantage of a short term retracement which could lead to some extra returns.

Should the above mentioned scenario change we will remain flat and monitor volatility movements whilst waiting for the next week.

Euro Futures Volatility Forecast (14/03/2011)

The Euro is still rising and the market achieved the $ 1.395 area even if euro futures did not manage to break through the solid resistance placed at $ 1.4.

The week seemed to be a bearish one but the price found a concrete support at $ 1.38 and jumped back up to $ 1.39 highlighting that many investors and traders are probably willing to re-test the $ 1.40 and check if there is any concrete possibility for a break out.

The actual volatility is 0.77% (12.2% annualised) and the upward sloping curve seems to indicate a further rise in the market fluctuations rate over the next trading days.

Consequently, more volatility is going to be expected over the next days and this could drive the market down towards the $ 1.37 area because the last rise in the TGARCH curve was caused by an increase in price. Therefore, such a scenario should mean that the boost is not as strong as it might seem.

The staff of HyperVolatility is moderately bearish on Euro futures and we will probably wait until Tuesday to place the trade because we will see how the market is going to react to Japan’s earthquake. Furthermore, the great concerns surrounding the Asian markets could drive investors to buy US dollars and, should this be the case, the euro would be inevitably dragged down in the $ 1.365 – 1.37 zone.

Euro Futures Volatility Forecast (27/02/2011)

We remained flat on Euro futures because we were waiting for volatility to settle before deciding which side of the market to ride.

The price touched 1.36, topped at 1.38 and then plummeted at 1.37 whilst the volatility decreased to 0.75% (11.9% annualised) although Euro futures failed to break through the 1.38 resistance level.

The TGARCH plot is now clearly downward sloping and therefore it is likely for the price to increase and achieve the 1.384 area by the next Friday.

The staff of HyperVolatility is bullish on Euro futures because the US dollar should keep on depreciating in the next trading days pushing investors to get rid of greenbacks to favour the European currency.

This market will be at the centre of attention because the US macroeconomic news could move the market quite significantly.

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.

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