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

Equity Futures:

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

Equity Futures:

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

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

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.

The last week we were expecting Japanese Yen futures to drop and touch the 122.5 - 123 area and effectively so it was. The market opened at 124.6 dropped to 123.5 and closed at 123.6 on Friday.         

The actual volatility is around 0.53% (8.4% annualised) but the plot is now displaying a fairly stable curve which could potentially rise over the upcoming days although it is trading within its equilibrium point.

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.

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.

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.

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.

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.

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).

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.

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.

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.

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).

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 last week we were bullish on Swiss Franc futures and effectively our analysis proved quite accurate and profitable. Specifically, futures prices opened at 108.3 achieved 109.1 on Thursday and rallied to 110.1 on Friday whilst the volatility plot remained practically unchanged.              

The actual volatility is around 0.6% (9.5% annualised) and it is right at the bottom of the equilibrium level which has been violated by the TGARCH curve very rarely. Therefore, some small fluctuations are going to be expected over the next trading days although the 0.7% - 0.72% area (11.1% - 11.4% annualised) should not be surpassed.

British Pound futures unexpectedly rose during the last week. In fact, the market opened at 161.13, stabilised around 163 and closed at 163.78 whilst the volatility dropped dramatically to 0.48 (7.6% annualised).

The TGARCH curve is now 0.54% (8.5% in annual terms) and the plot seems suggesting an ulterior increase of the conditional variance in the short term.   

As a consequence, British Pound futures could temporarily drop to 163 whilst volatility should achieve 0.56 - 0.58% (8.8% - 9.2% annualised) but once achieved this level the conditional variance should plummet once again bringing futures prices towards 164 - 164.2 by the end of the week.

The Japanese Yen futures went through a very choppy week. Indeed, prices opened at 119.05 dropped to 117.11 but 118.07 was the registered closing price the last Friday.

The current volatility is 0.58% (9.2% annualised) and the chart is now displaying an upward sloping curve which will probably keep rising over the next trading days.

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.

The first attempt to push Swiss Franc futures towards the 110 area has been vanished by bears which first dragged the price down to 108.6 and, after a sideways week, managed to bring futures prices into the 108.1 zone.

What happened to volatility? Absolutely nothing!!! The TGARCH plot is extremely flat and the curve is fluctuating around 0.6% (9.5% annualised) but this level is visibly a balance point. The low volatility has been mainly caused by the sideways movement which characterised the entire week and even the last plummet of Swiss Franc futures did not change investors’ market view.

The market rallied to 161 unexpectedly after an unstable trading week which saw Pound futures trading within 160 and 160.6 for 3 days.

The volatility is now 0.6% (9.5% annualised) and, although is back in its equilibrium point, the TGARCH curve is still slightly upwards sloping meaning that the up move was not really clear and that there was quite a lot of uncertainty before bulls won the battle.

The last week we forecasted a market drop in the 121.5 - 122 area but our bearish view on Japanese Yen futures proved even more profitable because the closing price touched 119.

The actual volatility is 0.38% - 0.4% (6% - 6.3% annualised) and it is now fluctuating around the equilibrium point although the right hand part of the chart still shows an upward sloping curve.

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.

The last week we announced we would not immediately enter our long positions because a sideways movement was likely to happen during the first trading days. Effectively, the market traded around 110.6 and 110.7 for almost 2 days before dropping to 108.7 on Friday even if such a sharp plummet has not been accompanied by a large rise in volatility.

The TGARCH curve is extremely flat and the chart displays a very stable situation since the conditional variance has clearly touched its equilibrium point at 0.61% (9.6% annualised) and given the large drop in price occurred on Friday this is quite suspicious.

The last week we were bullish on British Pound but given the delicate macroeconomics scenario we warned that a sharp drop in volatility would have obligated us to reverse our positions. Specifically, we stated that if the TGARCH curve had touched the 0.58% - 0.6% zone the market would have plummeted and effectively so it was.

The down movement of Pound futures is simply a reflection of the strengthening of the US dollar against the British currency which topped at 163.5 (a 5 months high) before collapsing to 160.2 by the last Friday.

We were bearish on Japanese Yen futures and we were expecting the price to fall in the 123.5 - 124 area but our forecasts proved even more profitable because Yen futures plummeted to 123.

Furthermore, the market immediately showed its intentions to head south because its opening on Monday was at 123.48 and, although the price tried to recover, it did not manage to break through the 123.6 resistance for 3 consecutive days and therefore the drop on Friday was almost largely expected by traders.

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.

The last week we forecasted a bullish movement of Swiss Franc futures caused by the Japanese crises and by the great tensions provoked by Libyan riots and indeed the market rallied to 111. We were right once again!!!

The Swiss currency is always considered to be a safe type of investment and therefore any international problems (wars, financial crises or natural disasters) will attract many investors willing to protect their portfolios towards this market.

The last week we entered a short position on the spot market and we bought some futures in order not to be carried away from the Japanese crises.

The current volatility is 0.7% (11.1% annualised) and the TGARCH curve seems to be upward sloping which highlights a further increase in market fluctuations over the next trading days.