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Euro Futures Volatility Forecast (13/11/2010)

The Euro Futures market is at the beginning of a down trend. We have been advising investors to close out longs for the last 2 weeks and indeed the price fell from 1,41 to 1,36 but we think Euro Futures have still a long way down before finding a solid support level.

The TGARCH volatility shows estimations quite close to 1%  but we have not seen a real explosion yet and therefore an augment in volatility is more likely to happen than an ulterior drop to 0.4% (6.5% annualised).

The euro is likely to depreciate against the dollar, hence, a drop in the futures market is more than a simplistic and approximate forecasting. The remaining month and a half before the end of the year will see a choppy market and the probability for this market to fall are much higher than the occurnence of an ulterior rally to unrealistic values close the 1.45 – 1.50 area.

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