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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.

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.

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 “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 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.

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 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 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.

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.

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.