GAFNN.com Blog

The Single currency has been hit by the heavy appreciation of the greenback that was, in turn, caused by a constant decrease of equity indices. Principally, the market opened at 1.4571, rose to 1.4687 on Tuesday but it retraced to 1.4575 on Wednesday and the down move continued until the end of the week because 1.4504 and 1.435 have been the closing prices on Thursday and Friday respectively

The actual volatility is 0.7% (11.1% in annual terms) and the TGARCH plot is now displaying a curve which surely increased but is still trading within its equilibrium range which goes from 0.58% to 0.77% ( 9.2% – 12.2% in annual terms).

The last week we were expecting an ulterior rise of Euro futures and effectively so it was. Specifically, futures opened at 1,4274 rose to 1.4328 on Wednesday, jumped to 1.4489 on Thursday and closed at 1.4633 on Friday.

 

The current volatility is 0.59% (9.3% in annualised terms) and the TGARCH curve is evidently falling although the massive rally which brought the single currency to heavily appreciate against the US dollar even if the critical and renewed attention of financial media on Greece’s sovereign debt.

The US dollar heavily plummeted over the last week and this phenomenon totally twisted all our analysis. Euro futures opened at $ 1.4046 fluctuated around $ 1.4080 for a couple of days and finally rallied to $ 1.413 on Thursday but even in this case, the final price was much higher than Monday’s opening: 1.4292 was the registered closing price on Friday.

The volatility is now 0.72% (11.4% in annual terms) but the chart is still displaying a downward sloping curve which highlights the fact that the depreciation of the US dollar against the Single Currency is likely to continue.

Euro futures went through a sideways week like many other markets during the last 5 trading days. Specifically, the price opened at 1.4167 rose to 1.43 on Thursday but it sharply dropped to 1.4156 on Friday.

 

The actual volatility is 0.63% (9.9% annualised) but the TGARCH plot is now displaying a decreasing volatility curve which highlights a great divergence between market fluctuations and the significant drop of the price which brought the market to close to 1.415 on Friday.

The US dollar kept appreciating against the European currency because the volatility broke through the 0.7% (11.1% annualised) and the bearish week opened at 1,4345 plummeted to 1,4187 whilst 1,4089 was the closing price registered the last Friday.

  

The actual volatility is 0.87% (13.8% in annual terms) and, although the TGARCH curve seems highlighting a potential drop of the oscillation rate, the conditional variance did not decrease sharply as it usually happens when the down move runs out of steam after a significant price drop: meaning that the down move is not over yet.