DJ EuroStoxx50 Futures Volatility Forecast (27/02/2011)

The last week the DJ EuroStoxx50 dropped quite sharply but such a phenomenon did not really surprised our readers since the last week we wrote that a retracement was on its way and about to hit the market.

Although we wrote we were moderately bullish, as soon as the market opened at 3,013 we entered some short positions because the volatility exploded and achieved 1.9% (30.1% in annual terms).

The current TGARCH curve is fluctuating around1.3% (20.6% annualised) but it is evident that the volatility is mean reverting to its stability point which is at 0.8% (12.6% annualised). Such an occurrence is probably going to drive the price back up again and the 3,010 -3,020 points should be soon touched by the Index. The staff of HyperVolatility remains bullish on DJ EuroStoxx50 futures since the decreasing market oscillations signal that the down move is now over and that the price is about to recovery. Nonetheless, this week agenda is particularly heavy and we will monitor very closely our positions.

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