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German Bund Futures Volatility Forecast (28/11/2010)

The German Bund is clearly in a downtrend and the further concerns about the stability of the Euro could without doubt undermine the credibility of Germany. The volatility increased substantially and it is now above the average although the chart would suggest a diminution.

The macroeconomics issues Europe is going through are not really helping the Bund and volatility estimations around the 0.4% (6.3% annualised) could augment over the last week bringing back the curve to levels fluctuating around 0.6% (9.5%  annualised).

On the other hand, a decreasing volatility could provoke a short-term pull back towards the 129 euro. The staff of HyperVolatility used to be extremely bullish on Bund Futures, however, the great fear that is now beating down the entire Europe made us change our mind.

It is worth reminding that the macro economics data that are going to be released this week could twist the market significantly. Be careful to the interest rate announcement on Thursday the 2nd, to the Non-Farm Payroll and to the Unemployment rate figures on Friday the 3rd.

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