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German Bund Futures Volatility Forecast (13/11/2010)

The last week we stated that if the German Bund Futures volatility had remained low the uptrend could not be really thought as over. Well, the volatility plot is unchanged and a downward sloping curve seems to indicate that bulls got back in the game.

The Bund seems extremely bullish at the moment (despite the Friday’s session) because volatility is still at 0.3% (4.7% annualised) and this does not really match the drop we saw in the market yesterday. This is a warning signal because such a market drop (from 130 euros to 129 euros in 2 days only) should have caused a drastic augment in volatility but the TGARCH plot displays a completely different scenario.

The staff of HyperVolatility remains bullish on this market and we expect the price to hit the 134 -135 area before the end of the 2010

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