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 : 04/26/2021 - 01:40 am GMT

Summary of the week ahead

We should see :

NOTE : As we announced, this week there is no weekly note or update of this page. The other sections (Rates, currencies, indices and systems) are updated normally.

US 10 year government at 1.564

Buyer PressureSeller Pressure

fundamental trend : Technical recovery

The buying pressure and the predominant selling pressure slow their speeds of progression.

For this week, the 10 year US should evolve within a range of 1.536 / 1.668 with an axis at 1.578

Resistances	1.567	1.578	1.587	1.597	1.610	1.629	1.639	1.651	1.668	1.689	1.700
Supports	1.561	1.553	1.543	1.536	1.528	1.519	1.506	1.492	1.480	1.475	1.458
AB Points	0.850	1.110	1.220	1.320	1.460	1.580	1.660	1.770	1.820
Volatility HV *	21 D.		252 D.		LTV
Average range *	Day	0.054	Weekly	0.129
Max. weekly range *	1.435	1.693

* Anticipated

DASHBOARD
T-Bill 3M	Pressure	AB Points	-0.030	0.000	0.010	0.022	0.030	0.042	0.056	0.070	0.120
Spread 10Y/3M	Pressure		FRA-OIS $	Pressure
US bond market

German 10 year government at -0.256

Buyer PressureSeller Pressure

fundamental trend : Technical recovery

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

For this week, the 10 year German should continue to evolve in a range -0.340 / -0.214 by pointing down the range.

Resistances	-0.245	-0.234	-0.214	-0.203	-0.178	-0.169	-0.160	-0.145	-0.131
Supports	-0.256	-0.261	-0.268	-0.277	-0.290	-0.303	-0.316	-0.328	-0.340
AB Points	-0.480	-0.418	-0.380	-0.355	-0.280	-0.180	-0.080	0.120
Volatility HV *	21 D.		252 D.		LTV
Average range *	Day	0.039	Weekly	0.081
Max. weekly range *	-0.337	-0.175

* Anticipated

DASHBOARD
Spread US vs GER	Pressure	Spread ITA vs GER	Pressure
German bond market

French 10 year government at - 0.005

Buyer PressureSeller Pressure

fundamental trend : Technical recovery

The predominant buying pressure and selling pressure decline at a steady speed.

For this week, like the German yields the French should continue to evolve in a range -0.090 / 0.066 with an axis to -0.013

Resistances	-0.001	0.007	0.033	0.046	0.056	0.066	0.084	0.094	0.102
Supports	-0.013	-0.026	-0.037	-0.044	-0.052	-0.068	-0.090	-0.134	-0.149
AB Points	-0.180	-0.138	-0.100	-0.080	-0.026	0.020	0.120	0.270
Volatility HV *	21 D.		252 D.		LTV
Average range *	Day	0.040	Weekly	0.089
Max. weekly range *	-0.094	0.084

* Anticipated

DASHBOARD
Spread FR vs GER	Pressure
French bond market

EURUSD at 1.2094

Buyer PressureSeller Pressure

fundamental trend : Consolidation

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

For this week, the single currency should continue its upward movement to test its resistance level 1.2165 / 1.2173. Its downward movements should be limited to its support 1.1981.

Resistances	1.2097	1.2109	1.2124	1.2131	1.2150	1.2157	1.2165	1.2173	1.2187	1.2195
Supports	1.2091	1.2081	1.2070	1.2057	1.2040	1.2026	1.2022	1.2012	1.2001	1.1981
Volatility HV *	21 D.		252 D.		LTV
Average range *	Day	0.0069	Weekly	0.0165
Max. weekly range *	1.1929	1.2259
EURUSD details

* Anticipated

SP500 at 4180

Buyer PressureSeller Pressure

fundamental trend : Bullish

The predominant buying pressure decreases by increasing its speed, the selling pressure decreases at a regular speed.

For this week, the index is expected to set a new record in a more volatile market. Its bearish movements should be limited to its support of 4098.

Resistances	4191	4194	4203 *	4240 *	4275 *	4351 *
Supports	4176	4158	4135	4129	4111	4102	4098	4086	4076	4016
Volatility HV *	21 D.		252 D.		LTV
Average range *	Day	51 Pts	Weekly	106 Pts
Max. weekly range *	4074	4286
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 increased (SPX, SPY) over 30 and 90 days.
Parity put/call spreads remained stable (SPY) over 30 and 90 days. They increased due to a higher increase in puts (SPX) over 30 days and more moderately over 90 days.

Anticipating a continuation of implied volatility and a rise in the index accompanied by a potential air hole, we will remain over 90 days calls with delta hedge.

VIX INDEX at 17.33

Pressure
VIX HV

UST Short

HV SP500 / HV UST - Weekly

HV SP500 / HV UST - Daily