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DJ EuroStoxx50 Futures Volatility Forecast (03/04/2011)

The HyperVolatility team was right once again!!! The DJ EuroStoxx50 futures opened at 2,825 achieved 2,850 by Thursday and then sharply rose to 2,878 on Friday even if we were expecting a much robust rise.

The volatility touched its balance point at 0.8% (12.6% in annual terms) and it is likely that the curve will remain stable around this level throughout the next trading days consolidating the gains accrued so far.

DJ EuroStoxx50 futures should head north once again during the next week and achieve 2,850 – 2,900 by Friday whilst the TGARCH curve should remain almost stable around this level, although some short term weak augment could bring the conditional variance towards the 0.9% – 0.95% area (14% – 15% annualised).

Specifically, the 2,890 – 2,900 zone proved to be a vigorous resistance and therefore the above mentioned increase in the market fluctuation rate could coincide whit the achieving of this price level.

The staff of HyperVolatility remains bullish on this market and we will be placing some longs as soon as the market opens but we will monitor very closely our positions once the “danger zone” will be approached. 

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