Euro Futures Volatility Forecast (13/02/2011)

The price achieved 1.37 as we managed to forecast the last week but Euro futures did not manage to break through this threshold and therefore bounced back into the 1.35 area.

The volatility plot shows a curve which is around 0.85% (13.4% annualised) and it is downward sloping, hence, the next trading days should see a diminishing intensity of market swings which could favour a short term recovery of the price.

Specifically, the TGARCH curve should touch 0.65% (10.3% annualised) by the end of the week and it is likely for the price to get back in the 1.37 – 1.38 area.

The staff of HyperVolatility is still bullish on Euro futures and we will look for a favourable price to place some longs because the plummeting volatility curve should sustain Euro futures in this area.

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