Euro Futures Volatility Forecast (13/12/2010)

The Euro is still in the middle of a storm and this could push away many investors from this market.

The volatility curve is clearly upward sloping and the current estimation 0.68% (10.7% annualised) should increase to 0.85% (13.4% annualised) by the end of the week driving down the price towards the 1,25 area.

The appreciation of the dollar is more likely to happen in the long term, given the current economic situation in Europe, and therefore the staff of HyperVolatility suggests you to go short on Euro futures since a great rise in volatility is expected to occur soon. In fact, at the beginning of the new year should not be surprising to see estimations around 1% – 1.1% (15.8% – 17.4% annualised).

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