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Euro Futures Volatility Forecast (03/04/2011)

The HyperVolatility team was right once again. The last week we forecasted a price increase which would have brought Euro futures towards the 1.42 area and indeed so it was because the closing price hit 1.4206.

The volatility is 0.59% (9.3% in annualised terms) and it sensibly rose since the last week but the augment is fairly acceptable if compared to the sharp market movement which pushed Euro futures towards the 1.4206 from 1.4142.

The TGARCH curve keeps highlighting a rather stable scenario which should favour a further increase of futures prices which should achieve 1.435 by the end of the next week. However, the great stability of the conditional variance is not going to last forever and that is why it is wise placing tight stops.

The staff of HyperVolatility remains bullish on Euro futures but we believe that a short term retracement is on his way and should the volatility curve surpass the 0.7% – 0.72% threshold (11.1% – 11.4% annualised) we would probably revert our positions.

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