Financial markets 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 : 05/17/2021 - 12:15 am GMT
Summary of the week ahead

We should see :

A US bond market with a long part of the curve continuing to run after the inflation and overreacting to economic announcements via peaks in volatility, especially with the 10 year.
A short end always in the turmoil of excess liquidity (TGA) exerting strong downward pressure on short rates, pressure spreading to the floating portion of interest rate swaps (Libor). As S. Skyrm points out, maintaining QE does not solve the problem. For our part, we see it as a dog trying to bite its tail. But let’s sleep quietly, central banks got it under control^^.

European bond markets that should pause with the rise of long yields.

A EURUSD parity benefiting from the pressure on US short rates.

Stock indexes reflecting the volatility of economic figures.

NOTE : To the question: why don’t you change the fundamental trend of EURUSD parity ? For us, there is no reason to change it, the parity remains in a consolidation phase of a bullish movement started in early 2020. This phase is expected to change soon with high volatility.

decoUS 10 year government at 1.626

US 10 year government

Buyer PressureSeller Pressure

fundamental trend : Technical recovery

The predominant buying pressure progresses at a steady speed, the selling pressure increases suddenly.

For this week, the 10 year US should remain between its resistance of 1,703 and its support zone 1,561 / 1,553. At the beginning of the week, a peak in volatility is not to be excluded.

Resistances 1.628 1.639 1.651 1.665 1.685 1.703 1.724 1.733 1.757 1.778 1.788
Supports 1.611 1.606 1.593 1.578 1.561 1.553 1.545 1.536 1.518 1.506 1.484
AB Points 1.310 1.460 1.495 1.560 1.610 1.660 1.700 1.760 1.820
Volatility HV * 21 D. 252 D. LTV
Average range * Day 0.054 Weekly 0.135
Max. weekly range * 1.491 1.761

* Anticipated

DASHBOARD
T-Bill 3M Pressure AB Points -0.040 -0.010 0.000 0.010 0.015 0.020 0.031 0.045 0.060
Spread 10Y/3M Pressure FRA-OIS $ Pressure
US bond market

decoGerman 10 year government at -0.126

German 10 year government

Buyer PressureSeller Pressure

fundamental trend : Technical recovery

The predominant buying pressure stagnates, the selling pressure decreases by slowing down its speed.

For this week, the 10 year German should come back and evolve around its support zone -0.160 / -0.169. Its bullish movements should be limited to its resistance of -0.079.

Resistances -0.108 -0.093 -0.079 -0.060 -0.049 -0.037 -0.020 -0.008 0.010
Supports -0.131 -0.138 -0.145 -0.154 -0.160 -0.169 -0.178 -0.203 -0.215
AB Points -0.289 -0.279 -0.185 -0.179 -0.079 0.121 0.279
Volatility HV * 21 D. 252 D. LTV
Average range * Day 0.039 Weekly 0.103
Max. weekly range * -0.229 -0.023

* Anticipated

decoFrench 10 year government at 0.264

French 10 year government

Buyer PressureSeller Pressure

fundamental trend : Technical recovery

The predominant buying pressure decreases by accelerating its speed, the selling pressure decreases slowly.

For this week, the 10 year French should find a ceiling below its resistance level 0.276 / 0.285 to return towards its support at 0.200 or even 0.185.

Resistances 0.276 0.285 0.295 0.302 0.314 0.335 0.347 0.353 0.382
Supports 0.261 0.254 0.237 0.225 0.211 0.200 0.185 0.163 0.150
AB Points 0.121 0.140 0.156 0.221 0.246 0.271 0.331 0.451
Volatility HV * 21 D. 252 D. LTV
Average range * Day 0.044 Weekly 0.104
Max. weekly range * 0.075 0.269

* Anticipated

decoEURUSD at 1.2143

Euro vs Dollar

Buyer PressureSeller Pressure

fundamental trend : Consolidation

The predominant buying pressure progresses at a steady speed, the selling pressure increases by jolt.

For this week, the single currency should come to test its resistance zone 1.2187 / 1.2202 to find a ceiling below the zone 1.2243 / 1.2265. Its bearish movements should be limited to its support 1.2026.

Resistances 1.2157 1.2165 1.2187 1.2195 1.2202 1.2224 1.2243 1.2265 1.2281 1.2289
Supports 1.2142 1.2131 1.2109 1.2091 1.2081 1.2070 1.2057 1.2040 1.2032 1.2026
Volatility HV * 21 D. 252 D. LTV
Average range * Day 0.0066 Weekly 0.0150
Max. weekly range * 1.1993 1.2293
EURUSD details

* Anticipated

decoSP500 at 4173

SP500 Index

Buyer PressureSeller Pressure

fundamental trend : Bullish

The buying pressure stops its decline, the predominant selling pressure slows its speed of progression.

For this week, the index should be like last week but less volatile, with a bullish movement limited to its resistance of 4194 or even 4218 to return towards its support zone 4098 / 4086.

Resistances 4178 4191 4194 4218 4238 4275 * 4285 * 4335 *
Supports 4164 4151 4132 4126 4098 4086 4074 4058 4031 4016
Volatility HV * 21 D. 252 D. LTV
Average range * Day 58 Pts Weekly 108 Pts
Max. weekly range * 4065 4281
SP500 details

* Anticipated

IMPLIED VOLATILITY SPX OPTIONS

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.

This week, volatility (SPY, SPX) rose on 30 and 90 day maturities. Put/Call spreads at parity have fallen (SPX, SPY) on the 30 and 90 day maturities with the larger rise in calls.

For this week, an excessive return of volatility would make us again monitor the purchase of 90-day calls out with Delta hedge.

VIX INDEX at 18.81
Pressure
VIX HV
Rates option

UST Short

VIX

HV SP500 / HV UST - Weekly

VIX

HV SP500 / HV UST - Daily