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I recommended a buy on Natural Gas it failed to make a bearish breakout on the yearly profile and i now expect it to trade back to the zonetrader pivot at 2.877. Hold onto the long position, if flat look to buy selloffs.

ISM non manufacturing came out today worse then expected. The ESM12 has now broken below the Zone-Trader pivot on the weekly profile at 1396.00. Look for sells in this price area with a target at the 1387.00 price area.

THE ES REMAINS STUCK INSIDE THE PERSISTENCE ZONE ON THE WEEKLY PROFILE TOP AT 1408.25 AND BOTTOM IS AT 1387.50. BULLS AND BEARS ARE FIGHTING FOR CONTROL OF THE MARKET ON THE WEEK AND IT SHOULD REMAIN EXTREMELY VOLATILE. A NEW MONTHLY PROFILE IS FORMING CURRENTLY UNTIL IT COMPLETES AND PLOTS THE NEW LEVELS WE HAVE TO FOCUS 0N THE CURRENT ZT PIVOT ON THE MONTHLY AT 1393.00 TO LEARN MORE ABOUT THE METHOD TUNE INTO TODAY'S WEBINAR AT 1:30 PM PST OFFERED THROUGH TRADERS KINGDOM.
http://traderkingdom.com/

The emini sp is currently in a key price range with the bottom of the range falling at 1387.50 and the top of the range at 1408.25. This area is the persistence zone on the weekly profile within Derivative Concepts proprietary trading method called Zone-Trader Philosophy, and it represents where the fight is the greatest between the bulls and the bears. Today the ESM12 opened inside this zone suggesting there is no control bias and the bulls and the bears are currently fighting for control of the market on the week. This tells us traders to expect an increase in volatility and a whipsaw price action, which will lead to stops being run on both sides of the market. The Zone-Trader Pivot on the Monthly Profile is currently falling at 1393.00, since this is the point of control we can utilize this price level to determine trade direction. If the ESM12 is above 1393.00 and making new highs look for buys on the short term, if it is below 1393.00 and making new lows look for sells on the short term. This should help keep day traders on the right side of the market over the next few trading sessions. Also take note of the half and quarter lines that fall within this zone which is designated in orange as they will play a role in support resistance and direction as well.

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 03/27/12 – 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 03/06/12 – 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.

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.

Tuesday 01/24/12 – 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.

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

Equity Futures:

...

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

Equity Futures:

...

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:

...

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 01/10/12 – 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.

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

Equity Futures:

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The last week we were bearish E-Mini S&P500 futures, we indicated the 1,265 – 1,270 area as a potential profit target and our volatility-based projection proved extremely accurate once again. In particular, the market opened at 1,285 it dropped to 1,277 on Wednesday and, although it touched 1,287 on Thursday, futures prices plummeted and settled at 1,269 on Friday.

The volatility is currently at 1.4% (22.2% annualised) and the TGARCH plot is visibly displaying a curve which is unusually high but it seems that the mean reverting process of volatility is already on its way.

...

We were bearish E-Mini Nasdaq futures and we forecasted an end-of-week price around the 2,235 – 2,240: our analysis proved accurate once again. Particularly, futures prices opened at 2,274 plummeted to 2,248 on Wednesday, rose to 2,252 on Thursday and closed at 2,222 on Friday

The actual volatility is 1.4% (22.2% annualised) and the TGARCH curve is undoubtedly extremely high but it appears that the conditional variance is now tending to mean revert and collapse even though the decreasing progression could be quite slow at the beginning.

...

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.

...

The last week we forecasted an ulterior rise of German Bund futures whilst our profit target was set around the 125.5 – 126 area and our analysis proved very accurate and profitable. In fact, the market opened at 125.5 and plummeted to 124.9 on Wednesday but it recovered on Thursday when it touched 125.1 and closed at 125.9 on Friday

The current volatility is 0.36% (5.7% in annual terms) and the TGARCH plot is clearly displaying a very stable and robust curve once again meaning that it is probable that the upcoming week will see a prolonged period of low price fluctuations.

...

E-Mini Crude Oil market moved higher in the first half of the week and then retraced in the second half transforming a bullish week in a sideways one. In fact, the market opened at $ 98.8 rose to $ 99.1 on Tuesday, moved higher to 101.8 on Thursday and sharply dropped to $ 99 on Friday


.

The actual volatility is 1.9% (30.1% in annual terms) and the curve has now touched the equilibrium point which is stable around the 1.6% area (25.3% annualised) whilst the TGARCH plot is displaying a fairly stable situation where the fluctuations are quite constant and not high.

...

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

...

E-Mini S&P500 futures have been clearly hit by the panic which swept away equity markets. In particular, the market opened at 1,330 rose to 1,344 it then plunged to 1,313 on Wednesday and it closed to 1,295 on Friday.

The current volatility is 1.18% (18.7% in annual terms) and the TGARCH curve is now displaying a robust upward sloping curve which highlights that the down move of the price action was constant and far from being over.

...

The last week we were bullish E-Mini Nasdaq futures and our forecast proved right solely in the first 2 days of the week because once the Index achieved the top on Tuesday it started to decline. Specifically, the market opened at 2,333 rose to 2,375 it then plummeted to 2,321 on Wednesday whilst on Thursday it settled around 2,326 but it heavily plunged to 2,287 on Friday.



The current volatility is 1.4% (22.2% annualised) and the TGARCH curve is now displaying a slightly upward sloping curve which seems to be a warning against an augment of market fluctuations over the next trading days.

The uncertainty and fear which influenced equity markets clearly had a remarkable impact on the Nasdaq and the unsatisfactory unemployment figures, contained in a overall negative Non Farm Payrolls, are probably going to keep the hi-tech Index in a non-positive status.

...

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 lateral movement of the price action and our suspicions proved to be accurate once again since German Bund futures prices jumped up and down all week long. Particularly, the market opened at 125.7 it dropped to 125.2 on Tuesday, it rallied to 125.8 on Wednesday , it then plummeted again and touched 125.4 on Thursday but closed at 125,1 on Friday.

The current volatility is 0.36% - 0.37% (5.7% - 5.8% in annual terms) and the volatility plot is clearly showing that the curve is trading within its equilibrium point whilst the overall chart displays a fairly low rate of market fluctuations.

...

The last week we were bullish E-Mini Crude Oil Futures and we were only partially right because after a powerful rally the market retraced and moved laterally for the remaining days: a very quiet week.

Specifically, the market opened at $ 100.2 rose to $ 102.6 but it then dropped back to $ 99.9 on Wednesday whilst it remained almost constant around $ 100. 5 - 100.6 on both Thursday and 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. 

    

...

E-Mini S&P500 futures moved higher probably pushed by the great depreciation of the US dollar against the euro, the pound starling and the Japanese yen. Specifically, the market opened at 1,314 remained stable around this area for a couple of days (1,313 and 1,316 have been the closing prices on Tuesday and Wednesday respectively) but the Index moved higher on Thursday with 1,326 points whilst 1,330 was the final closing price on Friday.

The actual volatility is 0.9% (14.2% in annual terms) and the TGARCH curve is now displaying a clear mean reversion movement which will tend to push the conditional variance towards its equilibrium point which is set around the 0.6% area (9.5% annualised).

...

The last week our bearish expectations have not been met and therefore we did not enter the market at all. In fact, E-Mini Nasdaq futures opened at 2,315 dropped to 2,309 on Wednesday but Thursday and Friday saw a steady and sharp recovery of the price in fact 2,326 and 2,333 have been the last 2 closing prices before the end of the week.

The actual volatility is 0.97% - 0.98% (15.3% - 15.5% annualised) and the TGARCH curve is aggressively downward sloping highlighting the fact that the up move in futures prices was robust and steady.

...

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 great uncertainty that characterised most of the equity markets pushed many investors and traders towards a safer type of investment and this resulted in increased German Bund futures prices.

The market opened at 125.1 and moved around this value for about 2 days but the final part of the week saw a sharp rise in price which at first brought German Bund futures to 125.5 euro whilst on Friday the price action remained almost unchanged; in fact, 125.59 euro was the final closing price.

...

 

The great depreciation of the US dollar affected not only the “remaining” currencies but it inevitably influenced crude oil prices. Specifically, the market opened at $ 97.5 retested the $ 101 threshold on Wednesday but E-Mini Crude Oil futures did not manage to break through this level and kept moving sideways for the rest of the week. In fact, on Thursday the closing price was $ 100.3 whilst $ 100.7 was the last price print 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.

...

The sideways movement E-Mini S&P futures went through the last week was efficiently captured by the analysis we posted one week ago. Nonetheless, the lateral movement has been followed by a drop but the magnitude of the plunge has not been as consistent as we thought.

The market opened at 1,325 it rallied to 1,338 on Wednesday, it moved even higher on Thursday (1,341) but 1,328 has been the settlement price on Friday.

...

The Nasdaq Index, like many other equity indices, moved sideways and we managed to “capture” that movement in our previous’ week analysis although we were expecting a stronger bearish movement around Thursday or Friday. Specifically, the market opened at 2,334 rallied to 2,367 on Thursday and it dropped back to 2,345 on Friday.

The actual volatility is 1.98% (31.4% annualised) and the TGARCH plot is displaying a downward sloping curve which normally we would interpret as a bullish signal but in the reality the drop in the conditional variance has been obviously caused by the lateral movement of the price action.

...

The VXN was expected to rise but the conditional variance of the implied volatility index did not move much from where it was the last week and the TGARCH plot is clearly displaying the aforementioned scenario.

The volatility is now around 4.8% - 5% (16.6% - 17.3% monthly) and the         curve is clearly downward sloping and during the upcoming days the variance could collapse and retest 4% (13.8% monthly) which is the equilibrium point but once touched this level it would not be surprising to see a further increase.

...

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 HyperVolatility team was right once again. The German Bund was expected to rise and retest the 124 euro target and effectively the market opened at 124.2 dropped at 124 on Wednesday and then closed at 124.6 euro on Friday.

The current volatility is 0.36% (5.7% annualised) and the TGARCH curve seems to have touched the equilibrium point implying that a potential short term explosion of the conditional variance is not an eventuality to opt out.

...

E-Mini Crude Oil futures moved higher as we forecasted the last week although the rally was not as powerful as we thought. In particular, the market opened at 97 rose to 99.7 on Wednesday but 99.8 was the closing price registered on Friday.

The volatility is now around 1.9% - 2% (30.1% - 31.7% annualised) and the curve seems to suggest a quite level of market fluctuations in the upcoming days since there is a progressive “softening process” going on.

...

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 last week we were bullish E-Mini S&P500 futures but the huge crash     that commodity prices experienced affected most of the equity indices and     the American one is not an exception. The market opened at 1,342 it dropped   to 1,338 on Thursday it rallied back up again to 1,347 but 1,334 was the closing price on Friday.

The volatility is now fluctuating around 0.8% (12.6% annualised) and, although the TGARCH curve is showing a downward sloping curve, there is a high probability that the next trading days will experience a high degree of market fluctuations.

...

The VIX Index experienced some ups and downs throughout the entire week. Specifically, the market opened at 17.1%dropped to 16.9% but it then closed to 17% on Friday.

The current volatility is around 5.8% - 6% (20% - 20.7% monthly) and the TGARCH plot is showing a fairly stable curve which should mean revert during the upcoming days.

...

E-Mini Nasdaq futures were expected to rise but the massive drop in commodity markets pushed down most of the world equity indices including the Nasdaq. The market opened at 2,387 rose to 2,408 on Tuesday, on Wednesday it plummeted to 2,393 but on Thursday it rallied back to 2,408 and it closed at 2,371 on Friday: a really choppy week!!!  

The volatility is around 0.78% - 0.8% (12.3% - 12.6% in annual terms) but the TGARCH plot is now displaying a downward sloping curve which should be carefully interpreted. The conditional variance has been trading in its lowest level for almost 1 month and it is reasonable to wonder: is this going to last forever?

...

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.

...

The quantitative based forecast provided by the HyperVolatility team proved extremely useful and profitable once again!!! E-Mini S&P500 futures rose as expected and the last week profit target (1,340 - 1,345 points) has been largely surpassed. The American Index opened at 1,340 rose to 1,355 and then closed at 1,363 on Friday: a great trade!!!      

The volatility is fluctuating around the 0.41% level (6.5% annualised) and the TGARCH curve is displaying a stable scenario which is going to push futures prices even higher should things remain unaltered.

...

The last week we forecasted a further drop of the VIX Index and we were right once again. The implied volatility index opened at 15.7% dropped to 15.3% and then closed at 14.7% on Friday.      

The current volatility is 5% (17.3% monthly) and the TGARCH curve seems suggesting an ulterior drop of the VIX Index which, should that be the case, would bring, the market in the 12.5% - 13% area.

...

The 2,385 points profit target we had the last week has been achieved in the first day of trading and our analysis proved very useful once again. E-Mini Nasdaq futures opened at 2,385 rose to 2,402 and closed at 2,407 on Friday. An excellent trade indeed!!!  

The volatility is now 0.61% (9.6% in annual terms) but the slope of the curve seems suggesting that the next trading days will be quite volatile because, at this point, a further increase of the conditional variance is far more statistically probable than an ulterior drop.

...

The HyperVolatility team was right once again!!! We were expecting a further drop of the implied volatility of the Nasdaq Index and effectively so it was. Specifically, the market opened at 17.2% dropped to 16.2% but closed at 16.5% on Friday.

 

The current volatility is 5.1% (17.6% monthly) and the TGARCH plot is displaying a downward sloping curve highlighting the fact that a further decrease of implied volatility could characterise the first days of the week.

...

The last week we were expecting a rise of the Index, our profit target was set to 2,890 points and our analysis proved very profitable once again. In particular, the European Index opened at 2,890 rose to 2,949 but closed at 2,951 on Friday.

The actual volatility is around 0.8% (12.6% annualised) and the curve is now showing a fairly stable scenario which could remain unaltered over the next trading days.

...

The German Bund futures rose substantially the last week although our forecast suggested a shorting strategy. Particularly, the price opened at 122.5 euro dropped to 122.1 but then rallied to 122.9 on Friday.

The actual volatility is now around 0.41% (6.5% annualised) and the TGARCH plot is showing an upward sloping curve which seems highlighting the fact that more uncertainty could be expected in the upcoming days because the volatility is going to increase.

...

E-Mini Crude Oil futures moved higher even this week although we forecasted a bearish movement of the price. Specifically, the market opened at $ 112 rose to $ 113 and then closed to $ 113.7 on Friday.  

The current volatility is 1.4% (22.2% annualised) and the TGARCH is displaying a quite stable volatility curve which is a pretty strange phenomenon for such a volatile market.

...

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.

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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.

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The American Index experienced a massive drop at the beginning of the last week: from 1,319 on Saturday the 15^th to 1,301 on Monday the 18^th!!! However, it has be pointed out that E-Mini S&P500 futures managed to recover at a very fast pace because after hitting 1,328 point on Wednesday the price rallied to 1,330 on Thursday.



The actual volatility is around 0.78% - 0.8% (12.3% - 12.6% in annual terms) and the TGARCH plot is now showing a dropping curve which is an evident signal that the down movement is over and that the Index is ready to head north once again.

Specifically, the conditional variance should remain almost unchanged over the next trading days, although some shy short term augments in the 0.82% area (13% annualised) are not to exclude.

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The VIX Index went through a quite bearish week although the closing price on Monday was 16.9% whilst Saturday the 15^th the Index bottomed at 15.3%. In particular, after the increase, which has been mainly caused by the American debt problems, the VIX began to drop and touched 15.07% on Wednesday whilst 14.69% was the closing price on Thursday.    

  

The volatility of the VIX is around 6.8% (23.5% monthly) and the chart of the TGARCH curve is still displaying a decreasing process which is probably going to end soon but that will bring the conditional variance of the implied volatility index back into the 4% - 4.5% equilibrium area (13.8% - 15.5% monthly).

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E-Mini Nasdaq futures on Monday closed at 2,291 whilst the closing price on Saturday the 15^th was 2,310: a sharp drop indeed!!! The market then recovered and got back to 2,310 but the ending of the week experienced one of the most violent rallies over the last 5-6 months because E-Mini Nasdaq futures rose to 2,355 on Wednesday and closed at 2,373 on Thursday.                  

The actual volatility is 0.48% - 0.5% (7.6% - 7.9% annualised) and its value is even lower than the equilibrium point which is set around 0.65% (10.3% in annual terms) implying that the next days will probably see a shy augment of market fluctuations because the curve will try to mean revert.

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The great drop that pushed the Nasdaq Index down the last Monday did not really affect its implied volatility Index whose fluctuations continued to decrease constantly over the last days. In fact, the VXN opened at 18.4%dropped to 16.4% and closed at 15.8% on Thursday.

The actual volatility is 4.1% (14.2% monthly) and the slope of the curve is clearly signalling that the conditional variance of the VXN Index has now touched the bottom and that it will probably remain stable over the next trading days.

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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.

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German Bund futures rose as we expected and stayed into the 122 euro area for the entire week but it is important to point out that most of the movement was a reflection of the fact that prices gapped up remarkably on Monday

 

Specifically, the closing price was 122.4 on Monday, whilst on the 15^th of April futures closed at 121.2, during Tuesday and Wednesday futures kept decreasing and touched 121.8 but 122.2 was the closing price on Thursday.

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The last week we were bullish on E-Mini Crude Oil futures and our analysis proved both useful and profitable since the $ 110 target was abundantly surpassed. In fact, futures prices opened at $ 107.1 rose to $ 111.4 on Wednesday but the $ 112.2 was a really pleasant surprise.                    

The chart shows an upward sloping curve which is now at 2.1% (33.3% annualised) and it is probably going to rise even more over the next trading days dragging down E-Mini Crude Oil futures prices.

Furthermore, the analysis we ran on Euro futures is now suggesting that, at least in the short term, the US Dollar will appreciate against the European currency and, should our forecast be correct, this phenomenon would act as a catalyst for the plummet of oil prices.

The tensions in Libya seems to be less of a problem now and many investors appear to be more concerned about the Euro vs Dollar exchange than anything else. In fact, the news coming from US regarding the rising Federal debt managed to drive down the market quite sharply the last week and this caused the spot rate to hit the $ 1.45 level.

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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).

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.

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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).

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The last week we “predicted” a retracement of the American Index and our short positions proved very profitable. The E-Mini S&P500 futures opened at 1,320 dropped at 1,308 but on Friday they rose again and closed at 1,318.                   

We closed our short positions on Thursday because our profit target was around 1,322 and since futures prices sharply plummeted to 1,308 and remained in the 1,308- 1,309 area for 2 consecutive days we decided not to risk what already had earned because the market seemed not be willing to break through the 1,310 support.

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