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DJ EuroStoxx50 Futures Volatility Forecast (17/01/2011)

The volatility of the DJ EuroStoxx50 futures is ridiculously low and it touched 0.4% (6.3% annualised) over the last week and such a drop accompanied the great rally of the price which brought the European Index futures to 2,930.

Furthermore, the rise of the DJ EuroStoxx50 futures was clearly backed by the outstanding and surprising demand for Portugal’s sovereign debt instruments and the most astonishing news is that the yields have been lower than expected meaning that the demand was way higher than expected.

Nevertheless, the volatility should rise over the next trading days and curve could touch 0.8% (12.6% annualised) pushing the price down back in the 2870 – 2900 area. Specifically, the rally this market experienced was too fast, without mid-term retracements, which usually confirm the steadiness of a trend, and the drop in volatility was so violent that the market fluctuations rate touched a new 5 months low.

The staff of HyperVolatility suggests to look for short opportunities and to monitor constantly the position because the uncertainty is still a strong feeling amongst investors despite we are in the middle of January.

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