DJ EuroStoxx50 Futures Volatility Forecast (17/10/2010)

This week the DJ EuroStoxx50 Futures experienced an upward movement which brought the Index to 2800. This is the highest price since the beginning of the 2010 and it seems the market wants to test this level once again (the first time the market achieved this level was at the beginning of August).

The TGARCH volatility keeps showing an extreme downtrend. This week the volatility is as low as 0.8%. At the end of the chart there seems to be a weak attempt to correct the trend but the macro economic data released this week will reveal the real trend.

The staff of HyperVolatility remains quite sceptical about the effective strenght of the current rally. Volatility is a mean-reverting instrument, hence, either a double dip or a downward correction should be expected.

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