GAFNN.com Blog

Online Trading Tool:  Pit IQ (Pit Intelligence) - Daily Online Trader Access to Trading Key Strategies, Setups & Levels live from the CME Trading Floor (Pits) in Chicago.

Monday 02/13/12 – Key Futures Trading Levels via CME Pit IQ

Equity Futures:

Online Trading Tool: Pit IQ (Pit Intelligence) - Daily Online Trader Access to Trading Key Strategies, Setups & Levels live from the CME Trading Floor (Pits) in Chicago.

Thursday 01/2612 – Key Futures Trading Levels via CME Pit IQ

Equity Futures:

Online Trading Tool: Pit IQ (Pit Intelligence) - Daily Online Trader Access to Trading Key Strategies, Setups & Levels live from the CME Trading Floor (Pits) in Chicago.

Wednesday 01/04/12 – Key Futures Trading Levels via CME Pit IQ

Equity Futures:

E-Mini Crude Oil market moved higher in the first half of the week and then retraced in the second half transforming a bullish week in a sideways one. In fact, the market opened at $ 98.8 rose to $ 99.1 on Tuesday, moved higher to 101.8 on Thursday and sharply dropped to $ 99 on Friday


.

The actual volatility is 1.9% (30.1% in annual terms) and the curve has now touched the equilibrium point which is stable around the 1.6% area (25.3% annualised) whilst the TGARCH plot is displaying a fairly stable situation where the fluctuations are quite constant and not high.

The last week we were bullish E-Mini Crude Oil Futures and we were only partially right because after a powerful rally the market retraced and moved laterally for the remaining days: a very quiet week.

Specifically, the market opened at $ 100.2 rose to $ 102.6 but it then dropped back to $ 99.9 on Wednesday whilst it remained almost constant around $ 100. 5 - 100.6 on both Thursday and Friday.

The great depreciation of the US dollar affected not only the “remaining” currencies but it inevitably influenced crude oil prices. Specifically, the market opened at $ 97.5 retested the $ 101 threshold on Wednesday but E-Mini Crude Oil futures did not manage to break through this level and kept moving sideways for the rest of the week. In fact, on Thursday the closing price was $ 100.3 whilst $ 100.7 was the last price print on Friday.

E-Mini Crude Oil futures moved higher as we forecasted the last week although the rally was not as powerful as we thought. In particular, the market opened at 97 rose to 99.7 on Wednesday but 99.8 was the closing price registered on Friday.

The volatility is now around 1.9% - 2% (30.1% - 31.7% annualised) and the curve seems to suggest a quite level of market fluctuations in the upcoming days since there is a progressive “softening process” going on.

E-Mini Crude Oil futures sharply plummeted over the last week whilst the conditional variance dropped as we correctly forecasted 1 week ago. The market opened at $ 103 plunged at $ 99 on Wednesday whilst $ 99.5 was the closing price registered on Friday.

 

The actual volatility is around 3.5% (55.5% in annual terms) but the TGARCH curve is still downward sloping although futures prices kept decreasing in value over the last trading days.

E-Mini Crude Oil futures moved higher even this week although we forecasted a bearish movement of the price. Specifically, the market opened at $ 112 rose to $ 113 and then closed to $ 113.7 on Friday.  

The current volatility is 1.4% (22.2% annualised) and the TGARCH is displaying a quite stable volatility curve which is a pretty strange phenomenon for such a volatile market.

The last week we were bullish on E-Mini Crude Oil futures and our analysis proved both useful and profitable since the $ 110 target was abundantly surpassed. In fact, futures prices opened at $ 107.1 rose to $ 111.4 on Wednesday but the $ 112.2 was a really pleasant surprise.                    

The chart shows an upward sloping curve which is now at 2.1% (33.3% annualised) and it is probably going to rise even more over the next trading days dragging down E-Mini Crude Oil futures prices.

Furthermore, the analysis we ran on Euro futures is now suggesting that, at least in the short term, the US Dollar will appreciate against the European currency and, should our forecast be correct, this phenomenon would act as a catalyst for the plummet of oil prices.

The tensions in Libya seems to be less of a problem now and many investors appear to be more concerned about the Euro vs Dollar exchange than anything else. In fact, the news coming from US regarding the rising Federal debt managed to drive down the market quite sharply the last week and this caused the spot rate to hit the $ 1.45 level.

The last week we were moderately bullish on this market even if we were expecting a short term retracement which could have dragged E-Mini Crude Oil futures down and clearly our analysis was right once again.      

The market opened at 109 dropped to 106.5 and then rose again to 109.4 the last Friday whilst the volatility touched 2.4% (38% annualised) and then dropped significantly to 1.8% (28.5% in annual terms) although the curve seems not to have reached the bottom yet.

The last week we were expecting an ulterior rise of E-Mini Crude Oil futures prices and our profit target was set to be at $ 110. However, our quantitative analysis proved even more profitable because futures prices touched $ 113 on Friday.    

The actual volatility is 1.48% (23.4% in annual terms) but the chart is displaying a situation which is quite steady, in terms of volatility fluctuations, and such a scenario seems stressing a probable further rise of futures prices.

The last week we were expecting an ulterior rise of E-Mini Crude Oil futures prices and our profit target was set to be at $ 110. However, our quantitative analysis proved even more profitable because futures prices touched $ 113 on Friday.    

The actual volatility is 1.48% (23.4% in annual terms) but the chart is displaying a situation which is quite steady, in terms of volatility fluctuations, and such a scenario seems stressing a probable further rise of futures prices.

The E-Mini Crude Oil futures rallied and achieved $ 108 the last Friday and the sharp rise is an evident signal that investors are extremely worried about the situation in Libya.

The last week we were bearish on this market but the low volatility fluctuations warned us against a price surge, even if the sideways movement which characterised the first half of the week was correctly forecasted by our previous analysis.

The E-Mini Crude Oil futures moved higher as we correctly forecasted the last week and we hope you all took advantage of our successful market view since futures prices achieved $ 105.6 a barrel. A great trade indeed!!!

The volatility is now in its equilibrium range and it is approximately 1.58% (25% annualised) but even if the TGARCH plot is still downward sloping there might be a great chance for a last rise before heading south again.

Shorting E-Mini Crude Oil futures has been a great idea because the $ 99 a barrel area was passed and the market found around $ 97.3 a barrel. However, the increased fear for the military intervention against Libya immediately changed the situation and E-Mini futures prices got back to $ 101.7 by the last Friday.

The current volatility is now 2.2% (34% annualised) and the TGARCH plot is evidently displaying a downward sloping curve which should accompany a further surge of E-Mini Crude Oil futures toward the $ 102.5 - 103 a barrel.