DJ EuroStoxx50 Futures Volatility Forecast (06/02/2011)

The advice we gave you last week to keep going long on the DJ EuroStoxx50 Futures was not only right but extremely profitable since the Index went from 2,968 to 3,013.

The volatility plot clearly shows a big spike that achieved 2.2% (34.9% annualised) and then plummeted to 0.9% (14.2% in annual terms) in a fairly short period of time and it would appear that the decrease should bring the volatility to touch 0.7% (11.1% in annual terms).

The Index should therefore continue to rise, even if the strength of bulls will be quite constrained, and by the end of the week the price should get into the 3,030 zone. However, the Non-Farm Payroll figures release should be accurately monitored since such data could easily change the “picture” in a matter of few seconds.

The staff of HyperVolatility is moderately bullish on DJ EuroStoxx50 futures and recommends you to look for a convenient price to place some longs.

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