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German Bund Futures Volatility Forecast (06/09/2011)

German Bund futures opened at 134.3 on Monday, jumped to 135.1 on Tuesday, retested the 134.4 level on Wednesday, achieved 135.5 on Thursday and closed at 136.8 on Friday.

The current volatility is 0.6% (9.5% in annual terms) and the TGARCH chart is displaying a curve which is now insistently upward sloping implying that the buying pressure is far from being over and likely to continue over the next trading hours. Should the situation worsen it would not be surprising to see the volatility retest the 1% level (15.8% annualised) by Friday.

The fragile situation of the global economy and the decreased rate of growth of the American market are factors which are heavily affecting investors’ feelings. Furthermore, the uncertainty about Obama ‘s speech is going to act as a catalyst meaning that a lot of traders will buy German Bund futures to limit market risk.

The HyperVolatility team is bullish this market because the increase in volatility will accompany a  higher buying pressure which will eventually bring the price action to test new all-time highs around the 138.5 – 139 threshold.

Once again, Obama’s speech on Thursday will have a significant impact on this market should any monetary/fiscal stimulus package be announced.

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