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

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

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

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

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

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

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

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Friday 01/06/12 – Key Futures Trading Levels via CME Pit IQ

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

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Thursday 12/29/11 – Key Futures Trading Levels via CME Pit IQ

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

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Friday 12/23/11 – Key Futures Trading Levels via CME Pit IQ

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

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Friday 12/16/11 - Online Access via Pit IQ

Equity Futures:

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 Swiss Franc did not manage to violate the 120 level and the upward sloping volatility curve clearly displays a situation of instability and violent market swings which is quite unusual for such a market. Particularly, the current volatility is 0.68% (10.7% in annual terms) and it is evident that the TGARCH plot is suggesting a further increase of the conditional variance over the next days which could potentially bring the oscillation rate in the 0.8% area (12.6% annualised).

As previously mentioned for both the Japanese Yen and British Pound futures, the sharp plummet in equity indices provoked an appreciation of the US dollar against the major currencies and the Swiss Franc did not constitute an exception to this rule.

British Pound futures began a very bullish week by jumping to 164.5 on Tuesday, in fact the last week we forecasted an up move, but the great uncertainty brought by negative macroeconomics news provoked the US dollar to appreciate against all the major currencies. Particularly, as soon as equity indices began to drop British Pound futures touched 163.9 on Wednesday and closed at 162.2 on Friday                 

The volatility curve is now at 0.46% (7.3% annualised) and its slope seems suggesting a further augment of the conditional variance over the next trading days although the current reading are still within a fairly stable range since a breakthrough of the 0.52% threshold (8.25% in annual terms) did not occur.

The last week we were expecting a further rise of Japanese Yen futures and effectively so it was in the first half but in the second one a sharp retracement annulled all the returns accrued on the long side.

Particularly, the market opened at 124.8 rose to 125.1 on Wednesday but it dropped to 124.5 on Thursday whilst 124.5 was the last price print registered on Friday

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 last week we were bullish Swiss Franc futures and our analysis proved to be extremely profitable once again. In fact, the market opened at 117.3 it rose to 118.6 on Wednesday, moved to 118.7 on Thursday and closed at 119.9 on Friday. A great trade indeed!!

The steady and continuous augment of futures prices has been helped by the rough conditions which most equity indices had to deal with because of the macroeconomics news announcement.

We were bullish the British Pound and, although the beginning of the week did not show a particular interest of investors in pushing higher futures prices, on Thursday and Friday a fairly sharp rally brought back the price in the 164 area.

 

Specifically, the market opened at 164.6 it then dropped to 163.3 but on Thursday it rose to 163.7 whilst 164.2 was the closing price on Friday: substantially a sideways week.

The uncertain scenario we saw has been mainly caused by the US dollar which has been heavily affected by macroeconomics news. In fact, the short week (considering the bank holiday) and the Non Farm Payroll figures created quite a lot of indecision amongst investors.

The Japanese Yen after an attempt to break through the 122.5 has been pushed back in the 124.5 area because of the great uncertainty caused by macroeconomics news. Particularly, the market opened at 123.5 dropped to 122.6 but it rose to 12.5 on Thursday and closed at 124.6 on Friday. 

    

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.

The “great depression” which hit the US dollar obviously created a domino effect which helped futures prices to touch new highs. In particular, Swiss Franc futures opened at 113.2 climbed to 114.6 on Wednesday, they jumped to 115.4 on Thursday but the closing price registered on Friday, precisely 117,3 was really unexpected.

The volatility is now 0.6% (9.5% in annual terms) and the TGARCH chart is showing a dropping curve which seems highlighting the steady and robust recovery of the Swiss Franc against the US dollar.

British Pound futures went through a sharp recovery which pushed the price in the 164 area. In fact, the market opened at 161.1 settled around 162.7 on Wednesday, rose to 163.8 on Thursday and closed even higher, at 164.8, the last Friday.
 

The volatility is now 0.43% (6.8% in annual terms) and the TGARCH plot is now showing a downward sloping curve which seems to suggest a further decreasing of the conditional variance over the next trading days.

The last week we were looking for shorting opportunities even though the price remained almost stable for 3 days and exploded at the end. Specifically, the market opened at 121.9 moved around 122 throughout the entire week and finally rallied to 122.9 on Thursday but closed at 123.6 on Friday.

The actual volatility is 0.58% (9.2% annualised) and the TGARCH curve seems suggesting an increase in the conditional variance which is quite suspicious if we consider that Japanese Yen futures sharply rallied both on Thursday and Friday.

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 bearish view on the Swiss Franc was not confirmed by the price action which unexpectedly moved higher. Particularly, the market opened at 113.2 rose to 113.4 and closed 114 on Friday.

The actual volatility is now 0.58% (9.2% annualised) but the TGARCH curve is still trading in a very narrow range which is very close to where the conditional variance was one week ago.

The last week we “predicted” a market drop that would have dragged futures prices in the 160 160.5 area and effectively the lowest point touched by Pound futures was 161.6 on Thursday. However, the overall week has been primarily a sideways one, although we thought the lateral movement would have characterised only the first half of the week.

 

The market opened at 162 plummeted to 161.6 but it then jumped back up again to 162.3 creating a lateral movement which boxed the price action in a narrow range for the entire week.

The last week we were bearish Japanese Yen futures and our profit target was around the 122 - 122.5 area: our forecasts proved very profitable once again. The market opened at 123.8 dropped to 122.3 and closed at 122.4

 

The actual volatility is 0.51% (8% annualised) and the TGARCH plot is showing a volatility curve which is fairly stable although the very last part is manifestly upward sloping.

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.

The market unexpectedly dropped although the previous week’s volatility chart seemed to highlight a clear signal of recovery. Particularly, the drop in volatility we were expecting the last week did not cause the market to rally but conversely it pushed that down. Mainly, the market opened at 114.6 dropped to 112.7 on Wednesday and collapsed to 111.9 on Friday.

 

The volatility is now around 0.63% (9.9% annualised) but the TGARCH curve is clearly downward sloping although the market has been plummeting quite consistently for 5 consecutive days. On the other hand, the conditional variance is trading within the usual boundaries and the current level is extremely close to its long term equilibrium point. How this should be interpreted?

Once again our forecast proved extremely profitable and quite accurate. In fact, the British Pound collapsed throughout the last week, as expected, whilst the volatility rose and achieved the 0.55% (8.7% annualised) which is exactly the figure we gave you 1 week ago.

    

In practical terms the market opened at 163.8 dropped at 163.4 on Wednesday but the down move continued at a stable rate because162.8 was the closing price on Thursday whilst it touched 161.7 on Friday.