GAFNN.com Blog

The eurusd is attempting to make a bearish breakout on the year and the quarter. Look for sells on short to medium term charts. April jobs report came out this a.m. it was worse then expected. The expected was 170k and the number was 115k. We look for a deviation of 35k above or below the expected number. This suggest the u.s. economy is slowing. Be careful in this market this may be manipulation by large speculators, commercials, or banks to create buy opportunities for themselves.

ISM non manufacturing came out today worse then expected. The ESM12 has now broken below the Zone-Trader pivot on the weekly profile at 1396.00. Look for sells in this price area with a target at the 1387.00 price area.

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.

Tuesday 03/06/12 – Key Futures Trading Levels via CME Pit IQ

Equity Futures:

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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.

Tuesday 02/07/12 – Key Futures Trading Levels via CME Pit IQ

Equity Futures:

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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.

Tuesday 01/24/12 – Key Futures Trading Levels via CME Pit IQ

Equity Futures:

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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 01/23/12 – Key Futures Trading Levels via CME Pit IQ

Equity Futures:

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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.

Tuesday 01/17/12 – Key Futures Trading Levels via CME Pit IQ

Equity Futures:

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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:

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The Euro rebounded from the effect of positivity on Stochastic, which was fully unloaded over four-hour basis.

The Euro declined sharply breaching the critical support at 1.4325, which is a strong negative signal for the intraday trend.

The Euro found strong resistance at 1.4280 which is the conjunction of the minor downside wave’s resistance and the MA 50.

The pair was mixed yesterday and it was good to remain neutral, while Stochastic continued to provide positive sings over daily basis.

We can see that oil has taken a sideway wave after the huge drop recently, where crude oil prices dropped after touching the resistance of the main upside channel as shown clearly below in the chart.

The pair hit the MA50 strongly and trading below it now

By examining the daily charts, we can see that the index is trading within two upside channels, where the main upside channel, which is controlling the index’s general trend since the trough at 665.75, and the minor upside channel, which is controlling the short term upside trend, as shown in the image below.

After the rise that started from level at 114.82 to reach 128.02, a divergence started to start a downside correctional wave that is clear on the daily chart below, where this downside correction pushed prices towards the strong support at 76.4% Fibonacci level around 117.95, and we can notice that the price touched this level on three different occasions and rebounded to the upside.

EUR USD did not go along with the set conditions for the bullishness and breached the ascending channel’s support as shown above.

The weekly chart is showing us how natural gas is still trading within the main upside channel, which represents the upside correctional trend that started after touching the trough at 2.334

The Euro reached the support for the main ascending channel and reversed to the upside with hourly closing above 1.4340.

After the huge drop which took the index from levels at 4515 to the bottom at 1760, the index started an upside correctional wave within a main upside channel that represents the general bullish trend over the medium term

The Euro is still hovering around the support for the main ascending channel, with the fluctuations around buying areas for the channel as shown below.

The Euro continues the negative pressure to stabilize below the support for the main ascending channel, which is a very negative signal confirming the downside correctional move.

The quantitative based forecast provided by the HyperVolatility team proved extremely useful and profitable once again!!! E-Mini S&P500 futures rose as expected and the last week profit target (1,340 - 1,345 points) has been largely surpassed. The American Index opened at 1,340 rose to 1,355 and then closed at 1,363 on Friday: a great trade!!!      

The volatility is fluctuating around the 0.41% level (6.5% annualised) and the TGARCH curve is displaying a stable scenario which is going to push futures prices even higher should things remain unaltered.

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The last week we forecasted a further drop of the VIX Index and we were right once again. The implied volatility index opened at 15.7% dropped to 15.3% and then closed at 14.7% on Friday.      

The current volatility is 5% (17.3% monthly) and the TGARCH curve seems suggesting an ulterior drop of the VIX Index which, should that be the case, would bring, the market in the 12.5% - 13% area.

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The 2,385 points profit target we had the last week has been achieved in the first day of trading and our analysis proved very useful once again. E-Mini Nasdaq futures opened at 2,385 rose to 2,402 and closed at 2,407 on Friday. An excellent trade indeed!!!  

The volatility is now 0.61% (9.6% in annual terms) but the slope of the curve seems suggesting that the next trading days will be quite volatile because, at this point, a further increase of the conditional variance is far more statistically probable than an ulterior drop.

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The HyperVolatility team was right once again!!! We were expecting a further drop of the implied volatility of the Nasdaq Index and effectively so it was. Specifically, the market opened at 17.2% dropped to 16.2% but closed at 16.5% on Friday.

 

The current volatility is 5.1% (17.6% monthly) and the TGARCH plot is displaying a downward sloping curve highlighting the fact that a further decrease of implied volatility could characterise the first days of the week.

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The last week we were expecting a rise of the Index, our profit target was set to 2,890 points and our analysis proved very profitable once again. In particular, the European Index opened at 2,890 rose to 2,949 but closed at 2,951 on Friday.

The actual volatility is around 0.8% (12.6% annualised) and the curve is now showing a fairly stable scenario which could remain unaltered over the next trading days.

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The German Bund futures rose substantially the last week although our forecast suggested a shorting strategy. Particularly, the price opened at 122.5 euro dropped to 122.1 but then rallied to 122.9 on Friday.

The actual volatility is now around 0.41% (6.5% annualised) and the TGARCH plot is showing an upward sloping curve which seems highlighting the fact that more uncertainty could be expected in the upcoming days because the volatility is going to increase.

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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.

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Euro futures kept increasing although the evident weakness of the market. In fact, the price opened at 1.462 on Monday, rose to 1.4767 and then closed to 1.4789 on Friday.


 

The actual volatility is around 0.43% (6.8% annualised) and the TGARCH plot is displaying a quite unstable situation since the volatility curve is still moving within a very narrow range and its current measurement is clearly very low.

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The last week we were bearish Swiss Franc futures but the rally experienced by this market over the last trading days signalled that that the high volatility measurement was nothing but a “fake-head”.    



The current volatility is 0.63% (9.9% annualised) and the TGARCH plot is clearly displaying a fairly stable scenario where the conditional variance is fluctuating within a narrow range which coincides with its equilibrium point.

The sharp augment in volatility which is visible in the chart has been counterbalanced by an even more violent mean reverting process which evened out the oscillation rate.

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The HyperVolatility team was right once again!!! The 165.9 - 166 area we set as profit target last week has been abundantly surpassed by British Pound futures which opened at 164.6 rallied to 166.2 and closed at 116.9 on Friday.          

        

The volatility is now 0.34% (5.3% in annual terms) and the sharp drop, which is clearly visible at the right hand of the chart, has been caused by the violent and consistent rally of British Pound futures over the last days.

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The last week we forecasted a further rise of Japanese Yen futures towards the 123.5 - 124 area and our analysis proved extremely profitable once again. Specifically, futures prices opened at 122.6 dropped to 121.8 but then closed at 123.3 the last Friday.                       

The actual volatility is 0.64% (10.1% annualised) and the TGARCH plot is displaying an upward sloping curve which could mean that more volatility should be expected in the upcoming trading days.

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By examining the daily charts, we can see that the index is still trading within a downside trend located inside the main downside channel as shown in the picture above.

Market declined sharply while dollar soared in strong way after the announcement of the US special forces killed Osama Bin Laden.

The Euro remains stable above the support for the general upside trend where the pair returned to stabilize above it as shown above.

EUR USD is trading with an upside bias approaching the top recorded yesterday around 1.4880.

After the huge drop for the pair from the peak levels at 125.55 towards 68.40, the pair started an upside correction as shown below on the weekly chart

The tight range trading yesterday provided Stochastic with upside momentum as seen over four-hour basis after going towards 23.6% Fibonacci correction shown below.

EUR USD rushed higher approaching 1.4900 with signs of a minor ascending channel organizing intraday trading.

EUR USD continued the upside move towards the 1.4700 at the time negative pressure is seen from momentum indicators.

EUR USD is trading around the critical support mentioned yesterday at 1.4520 affected by the negative pressure from the bearish pattern shown above.

The American Index experienced a massive drop at the beginning of the last week: from 1,319 on Saturday the 15^th to 1,301 on Monday the 18^th!!! However, it has be pointed out that E-Mini S&P500 futures managed to recover at a very fast pace because after hitting 1,328 point on Wednesday the price rallied to 1,330 on Thursday.



The actual volatility is around 0.78% - 0.8% (12.3% - 12.6% in annual terms) and the TGARCH plot is now showing a dropping curve which is an evident signal that the down movement is over and that the Index is ready to head north once again.

Specifically, the conditional variance should remain almost unchanged over the next trading days, although some shy short term augments in the 0.82% area (13% annualised) are not to exclude.

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The VIX Index went through a quite bearish week although the closing price on Monday was 16.9% whilst Saturday the 15^th the Index bottomed at 15.3%. In particular, after the increase, which has been mainly caused by the American debt problems, the VIX began to drop and touched 15.07% on Wednesday whilst 14.69% was the closing price on Thursday.    

  

The volatility of the VIX is around 6.8% (23.5% monthly) and the chart of the TGARCH curve is still displaying a decreasing process which is probably going to end soon but that will bring the conditional variance of the implied volatility index back into the 4% - 4.5% equilibrium area (13.8% - 15.5% monthly).

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E-Mini Nasdaq futures on Monday closed at 2,291 whilst the closing price on Saturday the 15^th was 2,310: a sharp drop indeed!!! The market then recovered and got back to 2,310 but the ending of the week experienced one of the most violent rallies over the last 5-6 months because E-Mini Nasdaq futures rose to 2,355 on Wednesday and closed at 2,373 on Thursday.                  

The actual volatility is 0.48% - 0.5% (7.6% - 7.9% annualised) and its value is even lower than the equilibrium point which is set around 0.65% (10.3% in annual terms) implying that the next days will probably see a shy augment of market fluctuations because the curve will try to mean revert.

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The great drop that pushed the Nasdaq Index down the last Monday did not really affect its implied volatility Index whose fluctuations continued to decrease constantly over the last days. In fact, the VXN opened at 18.4%dropped to 16.4% and closed at 15.8% on Thursday.

The actual volatility is 4.1% (14.2% monthly) and the slope of the curve is clearly signalling that the conditional variance of the VXN Index has now touched the bottom and that it will probably remain stable over the next trading days.

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The great retracement we forecasted the last week really occurred but this time the main catalyst was the sharp drop of the S&P500 Index caused by the great concerns about the American debt           

                   
            

The actual volatility is around 1.3% (20.6% annualised) and the curve is clearly collapsing towards its equilibrium point which is around 0.8% (12.6% in annual terms) implying that the up move the market experienced from Tuesday onwards is quite stable and likely to continue over the upcoming trading days.

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German Bund futures rose as we expected and stayed into the 122 euro area for the entire week but it is important to point out that most of the movement was a reflection of the fact that prices gapped up remarkably on Monday

 

Specifically, the closing price was 122.4 on Monday, whilst on the 15^th of April futures closed at 121.2, during Tuesday and Wednesday futures kept decreasing and touched 121.8 but 122.2 was the closing price on Thursday.

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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.

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The HyperVolatility team was right once again because the 1.43 profit target we forecasted the last week has not been simply hit but it has been heavily surpassed making our analysis even more profitable and useful than what we thought in the first place.            

The market opened at 1.4215 rallied to 1.4501 on Wednesday and 1.4531 was the closing price on Thursday: a wonderful trade!!!

The volatility is now extremely low and the decrease was clearly caused by the sharp rally which brought futures prices in the current level. Specifically, the conditional variance is around 0.47% (7.4% annualised) and statistically speaking there is a very high probability that the week ahead would see an increase in volatility because the curve will try to settle around the 0.53% - 0.55% area (8.4% - 8.7% annualised).

Consequently, the week ahead could experience some higher volatility and the price is going to be irremediably affected by this phenomenon because such an augment should drag futures prices back down in the 1.4350 area.

The HyperVolatility team is moderately bearish on Euro futures because the continuous depreciating process of the US Dollar against the Single currency is going to retrace and such a low volatility measurement is a clear signal that more turbulence is expected in the short term (particularly around the 1.46 threshold should the price gaps up on the opening).

The HyperVolatility team was right once again. British Pound futures moved higher as expected and hit the 164 - 165 as we correctly forecasted one week ago. Futures prices traded around 162.4 on Monday rose to 163.9 on Wednesday and closed even higher at 165.08 the last Thursday.                  



The current volatility is 0.48% (7.6% annualised) and the TGARCH curve is visibly collapsing towards the equilibrium point which is around the 0.38% - 0.4% area (6% - 6.3% in annual terms) implying a potential and ulterior rise of British Pound futures over the next trading days.

On the other hand, the 165 level is the highest price achieved by futures in the last 5 months and therefore an increase in the conditional variance seems to be a quite likely scenario too because the TGARCH curve is extremely close to its equilibrium point.

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Japanese Yen futures were expected to hit the 121.1 -121.8 area and our analysis proved even more profitable than we thought because 122.2 was the closing price. In particular, the market opened at 120.9 rallied to 121.4 and closed at 122.2 on Thursday.                       

The current volatility is around 0.61% (9.6% annualised) and the curve is still downward sloping meaning that the mean reverting process of the conditional variance is not over yet. Consequently, Japanese Yen futures should move higher because the volatility curve is probably going to collapse and settle around the 0.48% - 0.5% (7.6% - 7.9% in annual terms).

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The dollar is falling against all currencies.

The last week we “predicted” a retracement of the American Index and our short positions proved very profitable. The E-Mini S&P500 futures opened at 1,320 dropped at 1,308 but on Friday they rose again and closed at 1,318.                   

We closed our short positions on Thursday because our profit target was around 1,322 and since futures prices sharply plummeted to 1,308 and remained in the 1,308- 1,309 area for 2 consecutive days we decided not to risk what already had earned because the market seemed not be willing to break through the 1,310 support.

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The last week we were expecting the VIX to plummet into the 16.5 % - 17% area and the HyperVolatility team was right once again. Specifically, the VIX was trading at 16.5% on Monday but it dropped to 16.9% on Wednesday and closed even lower at 15.3% the last Friday.                                      

The actual volatility is 4.5% (15.5% monthly) but, like for the VXN Index, the volatility touched the mean reverting point and the decrease was too “calm” and too fast.

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The HyperVolatility team forecasted a sideways movement of the Index and our analysis was once again as accurate as useful.

Particularly, E-Mini Nasdaq futures opened at 2,309 dropped to 2,292 in the first 2 days but a further rise brought prices back to 2,309 and, although on Thursday the Index plummeted once again to 2,301, the closing price hit 2,310 on Friday. Indeed, a very choppy week.

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The last week we were bearish on the VXN Index and our analysis proved accurate once again. In fact, the market opened at 19.09% dropped to 18.5% and closed on 17.48% on Friday.                   

     

The actual volatility has now achieved the bottom and it is currently trading around 4% (13.8% monthly). However, the decrease in the VXN was quite smooth and without short term retracements that make the current figure both quite suspicious and unstable.

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The chart displays a volatility curve which significantly surpassed the 0.85% (13.4% annualised) figure at which we said we would enter our short positions and effectively our forecast proved profitable once again because the retracement we were expecting manifested itself and we managed to capture it. A great trade indeed!!!                                   

The actual volatility is around 1.1% (17.4% in annual terms) and although the TGARCH curve is now downward sloping we believe that the down move is not over yet.

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The last week we forecasted a bearish price movement which would have turned into a bullish market if the volatility had remained stable. Though, the volatility plot displays a sharp explosion of the conditional variance which accompanied a boost of Bund futures from 119.9 to 120.7 euro.      

The actual TGARCH curve is showing a mean reverting process whose value is close to 0.38% (6.03% annualised) and it is quite likely that over the next trading days the conditional variance will keep diminishing. As a consequence, the German Bund could rise once again because the volatility curve will try to get back into the 0.34%area (5.3% in annual terms).

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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.

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Euro Futures were expected to move higher and effectively so it was until the last Thursday when the last attempt to break through the 1.45 resistance failed. However, our forecast proved profitable once again because we warned our reader against a possible retracement in this area and therefore we all hope you benefited from our analysis and closed your longs on Thursday.                                           

The current volatility is around 0.48% (7.6% in annual terms) but the curve seems highlighting an ulterior increase of market fluctuations over the next trading days.

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The HyperVolatility team was right once again!!! The Swiss Franc futures prices rose to 112 whilst our expectations were around the 110.5 - 111 area and therefore our forecast earned our readers higher than expected profits.                               




The current volatility is around 0.64% (10.1% annualised) but the TGARCH curve is once again fluctuating within the equilibrium point although the right hand part of the chart is displaying an upward sloping curve.

Swiss franc futures should keep raising, even if we reckon that a short term retracement is on its way, and it would not be surprising to see a sideways movement of the market once the 112.5 - 112.7 area gets hit.

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The HyperVolatility team was waiting for a good opportunity to place a long position but as we suggested the last week without a clear sign of price recovery we would not enter the market.          

Effectively, British Pound futures went through a quite choppy week because the market opened at 163.2 dropped to 162.5 but closed at 162.8 on Friday whilst the volatility increased to 0.58% and then plummeted to 0.54%(9.2% and 8.5% respectively) as we correctly anticipated the last week.

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The Euro rushed to the upside approaching the awaited first target at 1.4500 which is pressuring the pair lowed supported by the negative momentum.

The last week we were expecting a further appreciation of the US Dollar against the Japanese Yen and our profit target was the 120- 121 area. Our forecast proved very profitable once again since the market opened at 118.2 rose to 119.4 and closed at 120.4 on Friday.  A very successful trade!!!    

The current volatility is around 0.7% (11.1% annualised) and the TGARCH curve is now showing a downward sloping curve which should keep decreasing over the next trading days since the mean-reverting point is around the 0.48% -0.5% (7.6% - 7.9% annualised).

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By examining the daily charts, we can see that the pair rose after confirming the breach of the neckline for the upside technical model at 115.65, where the pair managed to break the downside general trend, which dominated the pair’s movement since July 2009.

EUR USD is trading with an upside bias since morning and approaching the retest the breached support for the ascending channel that turned into resistance at 1.4300.

The pair breached the support for the ascending channel mentioned yesterday, and that is considered the beginning of the downside correction of the bullish wave shown below.

By examining the daily chart, we can see that the S&P index continues to move to the upside within upside channels that are controlling the index’s movement over the short and medium terms.

The Euru is trading with a downside bias with returning below the critical support mentioned in our previous reports –now resistance- that ascended towards 1.4470.

The Euro  is hovering around the critical support at 1.4455 with a downside bias affected by the negativity of Stochastic which might control the pair for some time.

Over daily basis, we can see how trading is structured within the main and minor ascending channels as shown below.

The Euro succeeded in stabilizing above the focal support yesterday that ascended now to 1.4455, after the SMA 50 prevented the pair from further bearishness.

Over daily basis, silver is trading within the main ascending channel the organized the wave from around 26.40 areas.

EUR USD continues to hover around the focal support areas of 1.4445 with a daily closing above this level yesterday.

EUR USD is trading with an upside bias since morning attempting to attached 1.4500 areas once again.

Updating our previous report on March 30, we can see how the index breached the 76.4% correction for the entire downside wave from 8180.5 to 3587.0.

The euro succeeded in stabilizing above the critical support that rose to 1.4445, while Stochastic lost its upside momentum which might increase the fluctuation and volatility around the support.

US Trade balance news coming on the way.

EUR USD rushed to the upside since morning settling for consolidating around 1.4380 areas, and attempting to stabilize above the critical support at 1.4435.

The pair declined to stabilize below the critical support mentioned in our weekly report yesterday as shown on the chart below.

The pair is struggling to remain above the critical support level of 1.4440.

The E-Mini S&P500 futures went through a bearish week mostly influenced by the new bad news coming from Japan. In fact, the Index opened at 1,329 dropped at 1,328 and settled at 1,324 on Friday.    

The actual volatility is around 0.68% - 0.7% (10.7% - 11.1% annualised) but the TGARCH plot is really flat and in this case a short term explosion of the conditional variance could easily drag down futures prices.

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