German Bund Futures Volatility Forecast (27/02/2011)

The price rallied to 124.3 euro and we hope you managed to capture the up move since we played intra-day and our short term operations gave us a decent weekly return.

The volatility is now at 0.37% (5.8% annualised) but the plot is displaying a curve which is “trying” to get back to the equilibrium point which is in the 0.28% area (4.4% annualised).

The drop in market fluctuations should favour an ulterior recovery of the price which could get back into the 125 euro zone. In addition, the negative macroeconomic news coming from the US should attract investors and buyers toward the German Bund.

The staff of HyperVolatility remains bullish on Bund futures and we will try to enter some longs at a favourable price because the volatility is likely to decrease over the next trading days, US market movers permitting.

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