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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.

The VIX was expected to rise in value and the big gap up between the 3^rd of June closing and the 6^th of June opening proved our forecast were correct. The market opened at 18.4% dropped to 18% on Tuesday, rallied to 18.7% on Wednesday whilst it plummeted once again to 17.7% on Thursday and closed to 18.8% on Friday.

The volatility is now at 6.8% (23.5% monthly) and the plot is displaying a curve which is “about” to hit its equilibrium point at 4.5% (15.5% monthly) and consequently to terminate the mean reverting process.

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 bullish forecast we gave you the last week proved to be very good and precise because the VXN opened at 19.5% (which was our initial target) it touched 19.9% on Wednesday, it plunged to 19.1% on Thursday and closed at 19.5% on Friday

The volatility of the VXN Index at first rose and achieved 9% (31.1% monthly) but in the very last part of the week it suddenly began to drop and mean revert toward the equilibrium point which is still stable around the 4% area (13.8% monthly).

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


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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.

We warned our readers against a short term explosion of the volatility and effectively so it happened, although our overall forecast on the S&P500’s implied volatility index was bearish.



In fact, the VIX opened at 15.4% rose 18.09% on Thursday and settled at 17.95% on Friday and even if we were expecting a move in the 20% area we can always say this is a good start.

The current volatility is 8.8% (30.4% monthly) and the TGARCH curve is now slightly downward sloping but, even in this case, the decrease in the conditional variance has been primarily caused by a sideways movement of the VIX rather than an effective recovery of the price action.

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.

The last week we were bearish the VXN Index but the great deal of uncertainty, the light volume, the bank holiday and the massive amount of macroeconomics news that have been released lifted the implied volatility of the Nasdaq Index. In fact, the VXN opened at 16.4% rose to 18.7% on Thursday and closed at 18.9% on Friday.

The current volatility is 8% (27.7% monthly) and the TGARCH plot is displaying a steep increase of the conditional variance which is followed by a shy drop. However, the plummet that is barely visible at the right hand part of the volatility chart has been mainly caused by the lateral movement of the oscillation rate occurred during the last 2 days of the week.

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 implied volatility of the S&P500 options market decreased over the last 5 days and the chart clearly displays a situation where the conditional variance keeps trading within a restricted range. During the last week the VIX Index opened at 18.2% plummeted to 17.07% on Wednesday and settled around 15.98% on Friday.

The volatility is now 6% - 6.1% (20.7% - 21.1% monthly) and the curve seems to be, once again, downward sloping and in the middle of a mean reverting process which will probably end once the oscillation rate achieves the equilibrium point set around 4.5% (15.5% monthly).

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 gave you a 2 way scenario where in the 1^st case we would have seen a short term explosion of market fluctuations whilst in the 2^nd a fairly stable and dropping volatility situation was described. Apparently, the 2^nd forecast turned out to be the most relevant one. In fact, the VXN Index opened at 19.21% dropped to 18.16% on Wednesday and settled at 19.21% on Friday.

The current volatility is 5.7% (19.7% monthly) and the TGARCH plot is showing a continuous and persistent condition in which the conditional variance is low and trading within a very narrow range.

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 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 VIX Index moved almost like the VXN and rather than showing an augmented activity, the last week was merely a lateral one. In particular, the market opened at 18.2% dropped to 16.2% on Wednesday but 17.4% was the closing price registered the last Friday.

The volatility is now 4.1% (14.2% monthly) and the TGARCH plot is showing a curve which is not really far from where we left it one week ago because the sideways movement which hit most equity markets kept the conditional variance extremely low.

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.