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.

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:

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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.

Wednesday 02/01/12 – 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.

Thursday 01/2612 – 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 01/12/12 – Key Futures Trading Levels via CME Pit IQ

Equity Futures:

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

Tuesday 12/27/11 – Key Futures Trading Levels via CME Pit IQ

Equity Futures:

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

Wednesday 12/21/11 – Key Futures Trading Levels via CME Pit IQ

Equity Futures:

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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).

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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.

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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.

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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.

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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.

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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 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).

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 last week we were bullish on Euro futures since our analysis suggested a further rise of the price which would have achieved the 1.435 area. Once again our forecast proved accurate and precise: the market opened at 1.4199 settled around 1.428 and rallied to 1.446 on Friday. A great trade!!! 

The actual volatility is around 0.55% (8.7 annualised) but the TGARCH curve seems suggesting that the next week should not be as volatile as we thought in the first place.

Specifically, we believe that the volatility is too low and that an increase in the conditional variance will soon drag down Euro futures prices but the actual stability of the plot highlights the will of many investors to retest the 1.50 resistance level.

The HyperVolatility team remains bullish on Euro futures because the volatility should not augment whilst prices are going to head north once again and achieve 1.455 - 1.46 by the end of the next week. Nevertheless, the 1.45 level could be a strong resistance level and great attention will be necessary when the market is going to get near a breakthrough of that barrier.

The HyperVolatility team was right once again. The last week we forecasted a price increase which would have brought Euro futures towards the 1.42 area and indeed so it was because the closing price hit 1.4206.

The volatility is 0.59% (9.3% in annualised terms) and it sensibly rose since the last week but the augment is fairly acceptable if compared to the sharp market movement which pushed Euro futures towards the 1.4206 from 1.4142.

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Our forecasts gave us a bearish view on Euro futures and we were expecting the price to hit 1.405 - 1.41 and so it was. Specifically, the market opened at 1.42 but it then plummeted to 1.41 and fluctuated within a narrow range until the end of the week.

The volatility plot shows a diminishing rate of market fluctuations which has now touched 0.55% (8.7% annualised) but the curve is now looking quite stable even if the very last part is slightly downward sloping.

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Euro futures dropped to 1.39 as we correctly forecasted the last week but as the USA announced its military commitment against Libya investors decided to put their trust and money on the European currency rather than the greenback and this caused the sharp surge in price we saw on Thursday and Friday.

The TGARCH plot is now fluctuating around 0.7% (11.1% annualised) and although slightly upward sloping, the curve got back to the equilibrium point. Consequently, we could see a small appreciation of the single currency against the US dollar but the overall week should not present shocking movements, news permitting.

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