Financial market analysis prices and volatility

Find weekly our studies and decryptions on the evolution of prices and volatility of bond markets, foreign exchange and equity indices.

Update : 01/24/2022 - 04:45 am GMT
Memento
US US Bond Market
Charts
A U.S. bond market giving the impression of having temporarily found a level of equilibrium with a first rate hike of 1/4 Pts. From a general point of view, bond market volatility should remain in a consolidation phase (this does not avoid the peaks) unless anxiety-provoking events such as the sound of boots being heard more loudly and simultaneously in the four corners of the world (surely a coincidence) are added to the market.
1 - 3 month : The 1 month yield pattern remains unchanged. The 3 month yield, still in a cycle of upward pressure, continues to rise in a volatile environment. The spread between the two maturities, widened to 13 bps with the rise in yield and volatility of the 3 month. The continued rise in the spread leads us to believe that the market is not considering a rate hike before the FOMC meeting in March. In retrospect, repeated rate hikes have always been at least three months apart.
2 - 5 year : The upward and then downward movements at the end of the week in 2- and 5-year yields are part of the context of reduced upward pressure.
10 - 30 year : The upward and then downward movements in 10 and 30 year yields are also part of a context of reduced upward pressure. The 10 year index of volatility continues to rise, while the 30 year index is entering a phase of stagnation.
EUEuropean bond market
Charts
European bond markets with a general decrease in volatility, especially in French bonds, and stagnant yield curves.
1 - 3 month : Still under declining bullish pressure, French and German 3 month yields eased slightly with a sharp drop in volatility for the French. Conversely, Italian yield continued to rise under sustained upward pressure.
2 - 5 year : The yields under declining upward pressure remained stable despite a strong yo-yo movement for the German and French.
10 year & spreads : The 10 year yields under waning upside pressure remained stable despite a strong yoyo movement. Spreads as a whole have stagnated except for the French to German spread which has continued to widen. The Italian against the Spaniard could have an acceleration and will be to watch.
EURUSDEURUSD parity
Charts

A EURUSD pair slipping in a calm can be misleading.

WorldEquity Indices
Charts

More volatile stock market indices. From a technical point of view, the end of the US QE questioning on the valuation of stocks and the anticipation of a future QT (J. Wang) presaging a drain on liquidity should continue to weigh on the US indices and by ricochet worldwide.

NOTE : the sound of boots initiated by Russia could quickly become anxiety-provoking. In this global game, China and Iran, which are "allies" of Russia, could use the Ukrainian crisis to advance their pawns against the West. This situation, for the moment still under control, should bring bullish support to the dollar and the barrel of oil. To watch.

decoUS 10 year government at 1.763

US 10 year government

Buyer PressureSeller Pressure

fundamental trend : Technical recovery

The predominant buying pressure stagnates, the selling pressure stops its decline.

For this week, the 10 year US should test its support level 1.700 / 1.692 or even 1.654 to go back to its resistance level 1.802 / 1.813.

Resistances 1.778 1.802 1.813 1.823 1.845 1.853 1.870 1.899 1.933 1.945 1.964 1.974 1.980 2.033
Supports 1.761 1.744 1.736 1.727 1.700 1.692 1.665 1.654 1.639 1.628 1.617 1.595 1.584 1.575
AB Points
 1.598 1.629 1.657 1.680 1.724 1.733 1.756 1.761 1.780 1.793 1.815 1.833 1.871 1.891 1.929 1.975
Volatility HV * 21 D. 252 D. LTV
Average range * Day 0.077 Weekly 0.164
Max. weekly range * 1.599 1.927

* Anticipated

UST BOND CHARTS

decoGerman 10 year government at - 0.064

German 10 year government

Buyer PressureSeller Pressure

fundamental trend : Technical recovery

The predominant buying pressure progresses at a reduced speed, the selling pressure increases by accelerating its speed.

For this week, the 10 year German should test its support level -0.105 / -0.116 to return to its resistance zone -0.021 / -0.013.

Resistances -0.059 -0.050 -0.042 -0.032 -0.021 -0.013 -0.003 0.010 0.025 0.033 0.049 0.068 0.077
Supports -0.070 -0.081 -0.092 -0.097 -0.105 -0.116 -0.132 -0.147 -0.161 -0.169 -0.178 -0.187 -0.202
AB Points
 -0.150 -0.144 -0.128 -0.114 -0.109 -0.088 -0.076 -0.068 -0.049 -0.034 -0.003 0.022 0.052 0.059 0.113 0.155
Volatility HV * 21 D. 252 D. LTV
Average range * Day 0.051 Weekly 0.108
Max. weekly range * -0.172 0.044

* Anticipated

GER BOND CHARTS
  • SPREAD BOND vs BUND 10YPressure CHARTS

decoFrench 10 year government at 0.338

French 10 year government

Buyer PressureSeller Pressure

fundamental trend : Technical recovery

The predominant buying pressure stagnates, the selling pressure increases by accelerating its speed.

For this week, the 10 year French should test its support level 0.272 / 0.261 to return to its resistance level 0.352 / 0.358.

Resistances 0.342 0.352 0.358 0.387 0.394 0.407 0.423 0.434 0.454 0.460 0.492 0.501 0.521
Supports 0.332 0.302 0.295 0.284 0.261 0.254 0.227 0.201 0.186 0.161 0.150 0.133 0.117
AB Points
 0.229 0.242 0.253 0.272 0.287 0.304 0.311 0.323 0.338 0.349 0.393 0.400 0.458 0.470 0.504
Volatility HV * 21 D. 252 D. LTV
Average range * Day 0.046 Weekly 0.098
Max. weekly range * 0.240 0.436

* Anticipated

FR BOND CHARTS
  • SPREAD OAT vs BUND 10YPressure CHARTS

decoEURUSD at 1.1342

Euro vs Dollar

Buyer PressureSeller Pressure

fundamental trend : Bearish

The predominant buying pressure progresses at a reduced speed, the selling pressure increases at a sustained speed.

For this week, the single currency should test its support level 1.1260 / 1.1241. Its bullish movements should be limited to its resistance zone 1.1380 / 1.1403.

Resistances 1.1343 1.1350 1.1366 1.1374 1.1380 1.1403 1.1414 1.1426 1.1445 1.1452 1.1465
Supports 1.1334 1.1318 1.1300 1.1294 1.1282 1.1272 1.1260 1.1241 1.1214 1.1202 1.1190
Volatility HV * 21 D. 252 D. LTV
Average range * Day 0.0067 Weekly 0.0136
Max. weekly range * 1.1206 1.1478
* Anticipated

decoSP500 at 4397

SP500 Index

Buyer PressureSeller Pressure

fundamental trend : Consolidation

The buying pressure declines at an accelerated rate, the predominant selling pressure declines at a reduced rate.

For this week, the index should break its support at 4311 to test its support level 4278 / 4270. Its bullish movements should be limited to its resistance at 4481.

Resistances 4411 4416 4422 4429 4440 4460 4479 4488 4501 4516 4528
Supports 4393 4386 4375 4366 4361 4355 4339 4323 4311 4301 4286
Volatility HV * 21 D. 252 D. LTV
Average range * Day 76 Pts Weekly 176 Pts
Max. weekly range * 4221 4573
* Anticipated
IMPLIED VOLATILITY SP500 OPTIONS

Variation of volatility centered on 1 week

SPX 02/18/2022 04/18/22 SP P/C
IV 24.43 (+8.36) 23.10 (+5.72)
CALL 23.99 (+7.44) 22.97 (+5.19)
PUT 24.88 (+9.29) 23.23 (+6.24)
SP P/C + 0.90 (+1.85) + 0.26 (+1.04)
SPY 02/18/22 04/18/22 SP P/C
IV 24.96 (+8.15) 23.23 (+5.26)
CALL 25.45 (+7.96) 23.42 (+4.99)
PUT 24.48 (+8.34) 23.03 (+5.54)
SP P/C - 0.97 (+0.38) - 0.39 (+0.55)
Rates option
T-BILL 3M vs 1M

If our expectations are correct and you have not followed through with the purchase of a spread put or call with hedging, on Monday the price of volatility will be too high to initiate a position.

As every week, the operations related to the weekend Theta are expected to exert bullish pressure on Monday and bearish pressure on Friday on the implied volatility.
VIX INDEX at 28.85
  • Pressure
  • VIX - HV
VIX HV SP500 / HV UST - Weekly
VIX HV SP500 / HV UST - Daily
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