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Euro Futures Volatility Forecast (28/11/2010)

As correctly forecasted the last week the euro dropped sharply and the TGARCH volatility plot visibly represents the great market fluctuations.

The volatility is now around 0.7% (11% annualised) and it appears that it will get back to 1.1% (17.5% annualised) driving the market towards the 1.25 area.

The recent announcements, the great fear for Ireland’s default, the concerns about a potential contagion to Portugal and Spain put euro under heavy pressure the last week. Consequently, many investors could reverse their long positions and start buying dollars in order to bank the gains accrued so far and start betting over recent news and Ireland’s S&P downgrading.

The staff of HyperVolatility suggests to pay attention to possible market drops in order to reinforce your short positions. Nevertheless, it is crucial keeping an eye to Fed and particularly to the ECB intervention on interest rate due on Thursday which could again change the scenario.

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