GAFNN.com Blog

The last week we were bearish the DJ EuroStoxx50 and we proposed the 2,730 area as a good profit target for a potential short position; our analysis were very good once again. In fact, the Index opened at 2,741 (2,784 was the closing price 2 weeks ago) it dropped to 2,738 on Wednesday and, although it rallied to 2,782 on Thursday, DJ EuroStoxx50 futures closed at 2,730 on Friday

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The current volatility is 1.8% (28.5% annualised) and the TGARCH plot is displaying an evidently downward sloping curve which is probably going to touch 0.85% – 0.9% (13.4% – 14.2% in annual terms) before the end of the week.

The diminishing oscillation rate is a pretty strong signal that the down move is over and that the market is ready to go up again even if the recovery should not be as strong as someone might think.

We were bullish the European market but our forecast proved correct solely in the first half of the week because over the second half the market retraced and moved sideways. In fact, futures prices opened at 2,811 rose to 2,872 but then plummeted to 2,795 on Thursday and then closed at 2,784 on Friday.

The current volatility is 1.4% (22.2% annualised) and the TGARCH plot is evidently displaying a downward sloping curve which is probably going to collapse even further over the next trading days in order to complete the mean reverting process.

The last week we were expecting a drop of the Index in the 2,805 - 2,810 area and effectively so it was. In fact, the market opened at 2,787 moved higher and touched 2,809 on Wednesday, it rallied to 2,818 on Thursday but 2,808 was the settlement price registered on Friday. 

The volatility is around 0.98% - 1% (15.5% - 15.8% annualised) and the TGARCH plot is evidently displaying a curve which is trying to complete a mean reverting process whose run is going to end once the 0.8% support (12.6% in annual terms) is touched.

The HyperVolatility team was right once again. The last week we forecasted a bearish movement of the Index but we also anticipated a strong sideways move of the price action and effectively so it was. Specifically, the market opened at 2,844 rallied to 2,860 and the dropped back to 2,834 on Friday.

The volatility is now at 0.98% (15.5% annualised) and the plot is evidently displaying a quite stable situation where the conditional variance is constantly decreasing and just achieved its equilibrium point.

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.

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.

The last week we were expecting DJ EuroStoxx50 futures to achieve 2,900 points and the HyperVolatility team was right once again. Particularly, the market opened at 2,888 rose to 2,901 and closed at 2,899 on Friday. A very successful trade!!!    

The actual volatility is around 0.6% (9.5% in annual terms) but the TGARCH curve is back in the equilibrium point and looks extremely flat suggesting that the recent up move of the Index could be now exposed to some sideways play or short term retracements.

The HyperVolatility team was right once again!!! The DJ EuroStoxx50 futures opened at 2,825 achieved 2,850 by Thursday and then sharply rose to 2,878 on Friday even if we were expecting a much robust rise.

The volatility touched its balance point at 0.8% (12.6% in annual terms) and it is likely that the curve will remain stable around this level throughout the next trading days consolidating the gains accrued so far.

The last week we entered some longs because we forecasted a sharp rise in DJ EuroStoxx50 futures and effectively the market closed at 2,834 whilst our expected value was 2,850 -2,900 points.

The volatility curve is still downward sloping and it is around 1.5% (23.8% in annual terms) but it is quite likely that the drop of the conditional variance will continue even in the upcoming trading days because the mean reverting process will end towards the 0.8% zone (12.6% annualised).

Consequently, the market should keep rising but once the equilibrium point will be achieved the market will probably settle and move in a narrow range. That is why we believe that the 2,900 - 2950 points will be the next week profit target but as soon as the volatility will manage to find support the strength of the up move will diminish dramatically.

The last week we entered some longs because we forecasted a sharp rise in DJ EuroStoxx50 futures and effectively the market closed at 2,834 whilst our expected value was 2,850 -2,900 points.

The volatility curve is still downward sloping and it is around 1.5% (23.8% in annual terms) but it is quite likely that the drop of the conditional variance will continue even in the upcoming trading days because the mean reverting process will end towards the 0.8% zone (12.6% annualised).

We thought the market was going to touch 2,820 points but the short position we entered the last week proved twice as profitable because the market plummeted to 2,706 on Friday.

Our readers have surely benefited from our forecasts and we hope that our analysis helped you to gain some more returns.