German Bund Futures Volatility Forecast (20/02/2011)

The staff of HyperVolatility forecasted an up move of Bund futures and suggested 122.9 euro as a target price. Indeed, Bund futures rallied to 123.8 and then established in the 123.4 euro area. What a wonderful trade!!!

The current volatility is 0.48% (7.6% annualised) and it seems to have reached the top. In fact, in the previous months, almost all the time that market fluctuations achieved this level they suddenly mean reverted to the equilibrium point which is set to be around 0.33% (5.2% annualised).

The volatility should decrease and the market is probably going to move sideways. The volatility explosion accompanied an up move and therefore should be interpreted as word of warning because the price is likely to sensibly drop and then tend to remain stable in the 122.5 -123 area.

The staff of HyperVolatility will remain probably remain flat this week since a sideways movement is quite likely to happen. However, if better or worse than expected news from US are going to hit the market, Bund futures could drop or rally respectively. In such a case we will try to play intra-day.

German Bund Futures Volatility Forecast (13/02/2011)

The futures on German Bund fluctuated around the 122 euro and the staff of HyperVolatility was right once again since we forecasted a price movement exactly between the 121.8-122 euro.

The volatility is now quite stable, it is moving in a narrow range and specifically between 0.3% – 0.32% (4.7% – 5% in annual terms) meaning that the market could have found, at least in the short term, a stable support.

The reduced volatility should favour a very brief recovery of the price which could potentially get back in the 122.9 zone even if the next week should primarily see a sideways movement of Bund futures.

The staff of HyperVolatility is moderately bullish on German Bund futures, at least for this week, and we will look to place some longs over the next trading days although the target is to profit from small market swings because the main market trend is still highly bearish.

German Bund Futures Volatility Forecast (06/02/2011)

The staff of HyperVolatility suggested you to remain bearish on German Bund Futures and we have been right once again. In fact, the price kept falling over the last days and touched 112.62 the last Friday.

The current volatility is 0.33% (5.2% in annual terms) and the right hand side of the chart seems highlighting a further increase of market fluctuations which could achieve 0.36% – 0.38% (5.7% – 6% annualised) by the end of the week. Consequently, the price should drop to 121.8 – 122 euro in the next trading days, Non-Farm Payroll figures permitting. In fact, a worse than expected reading of the Non-Farm productivity or unemployment could easily help a short-term recovery of the price which, should this be the case, would probably get to 123 euro again.

The staff of HyperVolatility remains highly bearish on German Bund Futures and advises you to keep shorting futures but during the next days great caution is needed.

German Bund Futures Volatility Forecast (01/02/2011)

The last week we suggested our readers to remain bearish on German Bunds and our forecasts turned out to be successful even if the returns were not extremely high.

On the other hand, the fact that the volatility is back to 0.32% (5% annualised) is a great warning signal because the current situation is clearly not going to last long. Specifically, the volatility should get back to 0.37% – 0.39% (5.8% – 6.1% annualised) bringing down the price towards the 121.5 – 122 euro.

Some important news, such as Non-Farm Payrolls figures, is going to be released this week and these market movers could change significantly the situation even if the overall trend remains bearish.

The staff of HyperVolatility advises you to look for short opportunities because an augment in volatility is statistically more probable than a further drop and as a consequence German Bund futures should head south even during this week.

German Bund Futures Volatility Forecast (23/01/2011)

The last week we suggested going short in order to take advantage of the downtrend despite the volatility was going down. Particularly, we forecasted a segmented movement: bullish at the beginning but bearish at the end of the week and so it was. Furthermore, the expected volatility drop towards the 0.35% (5.5% annualised) is now evident in the volatility chart.

The actual volatility is 0.34% (5.3% annualised) and this figure is extremely close to the lowest level ever touched by the TGARCH curve over the last 5 months. Consequently, we are expecting more volatility to happen in the market which would accompany the price in the 122.5-123 area.

On the other hand, the news coming from the US the next Thursday could eventually drive Bund futures upward should they not be as good as expected.

The staff of HyperVolatility is still bearish on this market because the volatility should get back to the 0.38% – 0.4% zone (6% – 6.3% annualised) driving the price down again. Nevertheless, great caution is needed on Thursday.

German Bund Futures Volatility Forecast (17/01/2011)

The Bund futures have been dropping over the last 4 months and it seems the downtrend is far from being over. The volatility has been fluctuating between 0.38% – 0.48% (6% – 7.6% annualised) over the last 40 days but the light volume and the absence of relevant transactions make that volatility measurement not of great relevance.

The current volatility is now at 0.39% (6.1% annualised) and the curve is downward sloping even if the medium term volatility is still pretty high. On the other hand, the fear surrounding the Euro zone has now been cooled down by the Portugal’s bonds auction and consequently a short term recovery (no more than 2 days) could occur in the market during this week.

Nevertheless, the weekly trend is still bearish and it is likely that the volatility will drop to 0.35% before jumping back to 0.40% again (5.5% and 6.3% respectively) making the price rising to 126 before decreasing to 124 euro.

Consequently, there are 2 strategies that could be adopted. The first one consists of placing trades intra-day in order to take advantage of market swings whilst the second one involves selling futures on Monday and buy them back on Friday afternoon.

German Bund Futures Volatility Forecast (19/12/2010)

The last week we forecasted a drop of Bund futures in the 123.8 -124 euro and indeed that is where the price ended up.

The volatility plot shows again an upward sloping curve and the current level of 0.45% (7.1% annualised) is likely to achieve 0.5% (7.9% annualised) by the end of the week. Consequently, such an increase in volatility should drive prices down in the 122 area and the end of the year, in addition to the great panic still “embracing” this market, are likely to act an increasing role as market movers for Bund futures.

The volatility kept rising over the last 2 months and this should be the final upward movement, in fact, a sharp collapse is expected in the long run and this should stabilise the price of German Bund futures.

The staff of HyperVolatility remains bearish on Bund and suggests you not to buy back your short positions because ulterior returns are to be gained during the next trading days.

German Bund Futures Volatility Forecast (13/12/2010)

Once again our forecasts were right and the movement that the Bund futures market experienced have not surprised our readers.

The bearish movement is not over yet and the TGARCH plot highlights a volatility curve which is extremely upward sloping. The current volatility estimation 0.5% (7.9% annualised) should touch 0.6% (9.5% annualised) by the end of the week driving the market down to 123.8 – 124 euro.

The panic is still the predominant feeling in this market which has been in a downtrend since the end of August and the new contagion fears, provoked by the downgrading of Dublin’s debt, are not really stimulating a recovery of the price which should plummet during the week.

The staff of HyperVolatility suggests you to keep on shorting this market because an ulterior augment of volatility could easily act as a catalyst for a price drop.

German Bund Futures Volatility Forecast (05/12/2010)

The increase in volatility clearly drove the market down to 126 euro but the TGARCH plot seems suggesting a retracement of the price.

The volatility is now 0.45% (7.1% annualised) and even if a short term drop of the curve could restore the price for 1 or 2 days we believe that readings around 0.6% (15% annualised) would not be surprising.

In particular, the concerns about Europe and the stability of German economy, although the export seems to grow at an exponential rate, could push investors towards different asset classes.  The staff of HyperVolatility is still bearish on German bunds but a short term pull back in the 127 euro area could become reality in the first half of the following week.

German Bund Futures Volatility Forecast (28/11/2010)

The German Bund is clearly in a downtrend and the further concerns about the stability of the Euro could without doubt undermine the credibility of Germany. The volatility increased substantially and it is now above the average although the chart would suggest a diminution.

The macroeconomics issues Europe is going through are not really helping the Bund and volatility estimations around the 0.4% (6.3% annualised) could augment over the last week bringing back the curve to levels fluctuating around 0.6% (9.5%  annualised).

On the other hand, a decreasing volatility could provoke a short-term pull back towards the 129 euro. The staff of HyperVolatility used to be extremely bullish on Bund Futures, however, the great fear that is now beating down the entire Europe made us change our mind.

It is worth reminding that the macro economics data that are going to be released this week could twist the market significantly. Be careful to the interest rate announcement on Thursday the 2nd, to the Non-Farm Payroll and to the Unemployment rate figures on Friday the 3rd.

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