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Euro Futures Volatility Forecast (06/02/2011)

The last week the staff of HyperVolatility suggested you to place shorts because the volatility would have increased and dragged the price down and so it was. Specifically, the price bottomed 1.3584 on Friday and hit the 1.35 target forecasted in our analysis 1 week ago.

On the other hand, this week seems things have turned the way round since the high volatility fluctuations which topped at 0.84% (13.3% annualised) are now decreasing and the TGARCH curve should get back to 0.65% (10.3% in annual terms) by the end of the week.

In other words, the drop in market fluctuations highlighted by the chart should favour a recovery of the price which could rally back into the 1.37 zone.

The staff of HyperVolatility suggests you to go long Euro futures and hold the position until the next Friday. However, the Non-Farm Payrolls data could twist the situations and maximum attention will be needed.

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