GAFNN.com Blog

The eurusd is attempting to make a bearish breakout on the year and the quarter. Look for sells on short to medium term charts. April jobs report came out this a.m. it was worse then expected. The expected was 170k and the number was 115k. We look for a deviation of 35k above or below the expected number. This suggest the u.s. economy is slowing. Be careful in this market this may be manipulation by large speculators, commercials, or banks to create buy opportunities for themselves.

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

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

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

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Wednesday 02/01/12 – Key Futures Trading Levels via CME Pit IQ

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

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

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

Equity Futures:

...

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

.



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.

...

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.

...

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 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 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 VXN Index went through an extremely choppy week where the sideways movement was the leading “feature” of the implied volatility of the Nasdaq Index. Specifically, the VXN opened at 18.3% dropped at 17.1% on Thursday but it suddenly rose to 18.3% on Friday.

The actual volatility is around 4.3% (14.5% monthly) and the TGARCH curve is now displaying a downward sloping curve which is clearly trying to complete the mean revert process and settle around the 4% level ( 13.8% monthly).

...

The European Index has been inevitably pushed down by commodity prices (and particularly oil) because both asset classes have a fairly robust positive correlation. The DJ EuroStoxx50 futures opened at 2,877 dropped to 2,895 and then collapsed to 2,857 the last Friday.

 

The volatility is now around 0.98% - 1% (15.5% - 15.8% in annual terms) but despite the bearish week the TGARCH plot looks extremely stable and, at the right hand part of the chart, it is evident that the volatility curve is even downward sloping.

...

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 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.

...

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).

...

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.

...

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.

...

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.

...

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.

...

The last week we were expecting the VIX to plummet into the 16.5 % - 17% area and the HyperVolatility team was right once again. Specifically, the VIX was trading at 16.5% on Monday but it dropped to 16.9% on Wednesday and closed even lower at 15.3% the last Friday.                                      

The actual volatility is 4.5% (15.5% monthly) but, like for the VXN Index, the volatility touched the mean reverting point and the decrease was too “calm” and too fast.

...

The HyperVolatility team forecasted a sideways movement of the Index and our analysis was once again as accurate as useful.

Particularly, E-Mini Nasdaq futures opened at 2,309 dropped to 2,292 in the first 2 days but a further rise brought prices back to 2,309 and, although on Thursday the Index plummeted once again to 2,301, the closing price hit 2,310 on Friday. Indeed, a very choppy week.

...

The last week we were bearish on the VXN Index and our analysis proved accurate once again. In fact, the market opened at 19.09% dropped to 18.5% and closed on 17.48% on Friday.                   

     

The actual volatility has now achieved the bottom and it is currently trading around 4% (13.8% monthly). However, the decrease in the VXN was quite smooth and without short term retracements that make the current figure both quite suspicious and unstable.

...

The chart displays a volatility curve which significantly surpassed the 0.85% (13.4% annualised) figure at which we said we would enter our short positions and effectively our forecast proved profitable once again because the retracement we were expecting manifested itself and we managed to capture it. A great trade indeed!!!                                   

The actual volatility is around 1.1% (17.4% in annual terms) and although the TGARCH curve is now downward sloping we believe that the down move is not over yet.

...

The last week we forecasted a bearish price movement which would have turned into a bullish market if the volatility had remained stable. Though, the volatility plot displays a sharp explosion of the conditional variance which accompanied a boost of Bund futures from 119.9 to 120.7 euro.      

The actual TGARCH curve is showing a mean reverting process whose value is close to 0.38% (6.03% annualised) and it is quite likely that over the next trading days the conditional variance will keep diminishing. As a consequence, the German Bund could rise once again because the volatility curve will try to get back into the 0.34%area (5.3% in annual terms).

...

The E-Mini S&P500 futures went through a bearish week mostly influenced by the new bad news coming from Japan. In fact, the Index opened at 1,329 dropped at 1,328 and settled at 1,324 on Friday.    

The actual volatility is around 0.68% - 0.7% (10.7% - 11.1% annualised) but the TGARCH plot is really flat and in this case a short term explosion of the conditional variance could easily drag down futures prices.

...

The implied volatility Index did not perform as well as we thought because the last week we forecasted a further drop of the VIX in the 16.5% area and until Thursday our analysis proved accurate but on Friday the Index rallied to 17.87% changing the scenario and transforming a bearish week in a moderately bullish one.   

Conversely, the volatility of the VIX did not change much because the TGARCH plot is still displaying a downward sloping curve which is now 5% -5.2% (17.3% - 18.3%monthly) and the mean reverting process is now very close to the equilibrium point placed around 4% - 4.5% (13.8% - 15.5% monthly).

...

E-Mini Nasdaq futures unexpectedly dropped over the last week dragging the price back into the 2,320 area despite the volatility plot remained practically unaltered.

Specifically, the actual volatility is around 0.73% (11.5% annualised) and the TGARCH curve does not suggest any potential rise in the conditional variance over the next trading days. On the other hand, the price drop we had the last week was not accompanied by a surge of market fluctuations meaning that many investors did not probably liquidate all their long positions.

...

The bearish view we had on the VXN Index paid off, although we were expecting a more robust movement, since the market opened at 20.05% dropped to 19.32% and closed at 19.76% on Friday.  

The current volatility of the VXN Index is 5.3% - 5.6% (18.3% - 19.4% monthly) and the TGARCH curve shows, once again, a downward sloping curve which is probably going to bottom around 4% - 4.5% (13.8% - 15.5% monthly).

...

The last week we forecasted an ulterior price drop which would have dragged Bund futures prices towards the 120.5 area and effectively so it was. Specifically, futures prices opened at 121 settled at 120.5 for a couple of days and then plummeted to 120.07 euro the last Friday.    

However, we were expecting a bit of upside movement since the volatility curve was clearly downward sloping but this was not the case, although the actual volatility is around 0.3% (4.7% in annual terms).

...

The last week our forecast suggested a further rise of E-Mini S&P500 futures towards the 1,330 area and the HyperVolatility team was right once again!!! Specifically, the market opened at 1.302 on Monday, rose to 1,323 on Wednesday and closed even higher at 1,327 the last Friday. A very successful trade!!!

The actual volatility is fluctuating around 0.78% (12.3% annualised) but the TGARCH curve is showing a fairly stable scenario which is likely to remain unaltered over the following trading days.

...

The last week we forecasted a drop in the VIX Index and effectively so it was. The Index opened at 19.44%, dropped at 17.7% in the middle of the week and closed at 17.4% the last Friday.

The current volatility of the VIX is around 6.8% - 7 %( 23% - 24.2% monthly) but the curve is still downward sloping highlighting a probable and ulterior plummet of market fluctuations over the next trading days.

...

The last week we forecasted a rise of E-Mini Nasdaq futures towards the 2,330 -2,335 and indeed the closing price on Friday was 2,337 points. Furthermore, we predicted a mean reverting movement of the TGARCH curve in the 0.5% area (7.9% annualised) and an immediate stabilisation of market rate fluctuations once this level had been achieved: the volatility is now at 0.58% (9.2% in annual terms).

The TGARCH plot is now displaying a stable curve and it is reasonable to believe that such fluctuations will remain unaltered for the rest of the week although a short term augment of volatility could bring a bit of uncertainty in the price action.

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Our bearish view on the VXN Index has been confirmed, although on Monday the opening was at 20.78%, because the implied volatility of the Nasdaq Index collapsed to 19.41% the last Friday.

The actual volatility is 5.3% (18.3% monthly) but the TGARCH curve is still downward sloping highlighting that the mean reverting process has not been completed yet.

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The HyperVolatility team was right once again!!! The DJ EuroStoxx50 futures opened at 2,825 achieved 2,850 by Thursday and then sharply rose to 2,878 on Friday even if we were expecting a much robust rise.

The volatility touched its balance point at 0.8% (12.6% in annual terms) and it is likely that the curve will remain stable around this level throughout the next trading days consolidating the gains accrued so far.

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The last week we forecasted a price drop towards the 120.5 - 121 euro and effectively so it was. German Bund futures opened at 121.8 and then sharply dropped at 121.15 euro on Friday.

However, the volatility plummeted to 0.36% (5.7% annualised) despite of what effectively happened in the market and once again the leverage effect has not been respected. Nonetheless, during our research, that is available on HyperVolatility Channel, we noticed that volatility in German Bund futures is much more reactive to price rallies than to market drops. Consequently, since the asymmetric process has not been respected and given the fact that the actual TGARCH curve is fairly close to its equilibrium level, which is around 0.33% (5.2% annualised), a potential rise in volatility could imply a recovery of the price.

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The weekly chart shows how the last decline retested the previously breached neckline for the pattern shown below.

The staff of HyperVolatility was right once again!!! The E-Mini S&P500 futures market was expected to rise and achieve the 1,290 - 1,300 points and effectively 1,310.7 was the closing price registered the last Friday.

The volatility curve is visibly downward sloping and the mean reverting process will probably push it even further dragging the curve from the actual figure 0.83% (13.1% annualised) towards the 0.65% area (10.3% in annual terms).

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The staff of HyperVolatility was right once again!!! The Nasdaq was expected to rise sharply and indeed the American hi-tech Index performed extremely well over the last trading week.

The volatility plot is a perfect example of how sharp, powerful and fast the rise was: the TGARCH curve is now at 0.1% (1.5% annualised). The volatility touched its 5 months low and therefore the next trading days will clearly see an augment in the market fluctuations rate which could revert to 0.5% (7.9% in annual terms) by the next Friday.

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The last week a drop in VXN volatility was forecasted by our staff and indeed we have seen the index opening at 23.82%, dropping to 20.59% and closing at 20.78% the last Friday. HyperVolatility was right once again.

The volatility of the VXN Index is now fluctuating around 7.7% (26.6% monthly) and the TGARCH plot seems suggesting a further plummet of the conditional variance in the upcoming trading days.

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The last week we entered some longs because we forecasted a sharp rise in DJ EuroStoxx50 futures and effectively the market closed at 2,834 whilst our expected value was 2,850 -2,900 points.

The volatility curve is still downward sloping and it is around 1.5% (23.8% in annual terms) but it is quite likely that the drop of the conditional variance will continue even in the upcoming trading days because the mean reverting process will end towards the 0.8% zone (12.6% annualised).

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The staff of HyperVolatility was right once again!!! Bund futures indeed decreased as forecasted and closed at 121.8 whilst our analysis suggested a closing price around the 121.5 euro.

The volatility is now sharply diminishing and the actual value is fluctuating around 0.43% (6.8% in annual terms) but the curve is still heading south highlighting an anomaly. In fact, the violent drop in price which experienced this market, at least in the last trading session, should have provoked a rise in market fluctuations but the plot does not report any substantial change.

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Over daily basis, we can see that trading reversed to the downside and the index breached the support for the short term ascending channel that carried trading from the lows of 1037.25.

The E-Mini S&P500 futures market fell as forecasted the last week and our analysis proved extremely accurate and profitable once again!!! Specifically, the American Index opened at 1,296, dropped to 1,253 and then closed at 1,274 on Friday.

The volatility is now1.5% (23.8% in annual terms) and evidently this is the highest value ever achieved by this market over the last 5 trading months.              Is this scenario sustainable? Is volatility going to rise even more in the upcoming trading days? We believe that the TGARCH curve is going to mean revert towards 1.2% (19% annualised) whilst the Index will increase in value and will probably achieve 1,290 - 1,300 by the next Friday.

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The staff of HyperVolatility was right once again!! The volatility rose and so did the VIX Index which opened at 21.1%, increased to 29.4% and then closed at 24.4% on Friday.

The actual volatility is 12% (41.5% annualised) and it is quite likely that the curve will start to mean revert over the next trading days in order to get back to the equilibrium level which is still set around the 4% area (13.8% in annual terms).

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The 2.270 area we thought would have been touched the last week has been clearly surpassed by the market which closed at 2,226 on Friday. Our forecasts have been very useful and more importantly very profitable once again.

The current volatility is 2.4% (38% annualised) but the TGARCH plot is clearly displaying an unstable situation because such a high volatility rate will probably tend to mean revert over the next trading days.

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The rise in volatility that we forecasted the last week evidently occurred and the staff of HyperVolatility was right once again!!! The VXN Index opened at 23.1% on Monday rallied at 28.4% on Thursday and closed at 26.6% on Friday: the combined strategy was quite fruitful.

The volatility is now at 11.7% (40.5% annualised) and it is probable that market fluctuations will start diminishing over the next trading days. The VXN Index will tend to head south and the TGARCH curve should touch 8% (27.7% annualised) by the end of the week if the macro scenario does not change much.

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We thought the market was going to touch 2,820 points but the short position we entered the last week proved twice as profitable because the market plummeted to 2,706 on Friday.

Our readers have surely benefited from our forecasts and we hope that our analysis helped you to gain some more returns.

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