Categories

Archives

German Bund Futures Volatility Forecast (13/12/2010)

Once again our forecasts were right and the movement that the Bund futures market experienced have not surprised our readers.

The bearish movement is not over yet and the TGARCH plot highlights a volatility curve which is extremely upward sloping. The current volatility estimation 0.5% (7.9% annualised) should touch 0.6% (9.5% annualised) by the end of the week driving the market down to 123.8 – 124 euro.

The panic is still the predominant feeling in this market which has been in a downtrend since the end of August and the new contagion fears, provoked by the downgrading of Dublin’s debt, are not really stimulating a recovery of the price which should plummet during the week.

The staff of HyperVolatility suggests you to keep on shorting this market because an ulterior augment of volatility could easily act as a catalyst for a price drop.

Leave a Reply

Your email address will not be published. Required fields are marked *

Go back to top