DJ EuroStoxx50 Futures Volatility Forecast (21/03/2011)

We thought the market was going to touch 2,820 points but the short position we entered the last week proved twice as profitable because the market plummeted to 2,706 on Friday.

Our readers have surely benefited from our forecasts and we hope that our analysis helped you to gain some more returns.

The actual volatility is 2.4% (38% annualised) but the TGARCH curve touched 2.7% (42.8% in annual terms) during the week and then started to mean revert highlighting that the down movement is probably over.

The volatility is visibly trying to get back to the 1.5% zone (23.8% annualised) and this should be interpreted as an extremely bullish signal because if the down move had not been over yet we would have probably seen an upward sloping curve.

DJ EuroStoxx50 futures should get back to the 2,850 – 2900 area by the end of the week, breaking news from Libya permitting. In fact, investors seemed to have shifted their attentions on the military intervention against Gaddafi.

The staff of HyperVolatility will place some long positions because the market should recover fast in the upcoming days. However, we will closely watch our positions and the stops will be quite tight because the situation is still precarious.

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