Euro Futures Volatility Forecast (20/02/2011)

The last week we were expecting Euro futures to touch the 1.37 area and so it was. The staff of HyperVolatility was right once again and efficiently managed to “predict” the further depreciation of the dollar against the European currency.

On the other hand, the fact that the volatility plot rose to 0.83% (13.1% annualised) is, once again, a warning signal. Specifically, the volatility should have decreased in value rather than rallying in such a way highlighting that the surge was not completely stable and clear as someone would expect it to be.

Consequently, a drop in volatility could not be interpreted as a bullish signal but as a sideways indication. The plummet is probably going to accompany a lateral movement of Euro futures which should stabilise around the 1.35 zone even if a down trend should manifest before the end of the week.

The staff of HyperVolatility remains flat for this week but we will try to place some shorts as the market begins to drop. In addition, the macro news from US should bring a higher rate of market fluctuations.

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