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Euro Futures Volatility Forecast (19/12/2010)

The last week we forecasted a further drop of the price and once again our forecast proved profitable since the price of Euro futures went from 1.33 to 1.31.

The volatility is almost where it was the last week due to the initial drop that kept the price high before collapsing during the last trading days but the TGARCH plot highlights an upward sloping curve which could easily achieve 0.8% – 0.85% (12.6% and 13.4% respectively in annual terms).

Consequently, the price should touch 1.30 by the end of the week and such a decrease is likely to happen since the end of the year and the great panic surrounding the Euro zone can significantly influence market prices.

The staff of HyperVolatility suggests you to keep shorting futures or at least not to buy back your shorts and wait for the end of the week.

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