Financial Market Analysis

Find weekly our analysis on the quote evolution, historical and implicit volatilities for equity indices, 10 year rate and currencies.

Analysis

Update : 09/20/2020 - 6:10 pm GMT

Summary of the week ahead

We should see

A US bond market with a slight upward pressure on the 10 year yield and vice versa with the 3 month period. This rise of the curve by the short part is it due to a tangle of events such as a squeeze of T-Bill by the FED to which would be added sales of long maturities in response to a problem of need in dollars ?
If so : the US house is badly maintained !

A European bond market dependent on the evolution of Covid 19 and its economic consequences. Interest rate spreads vs. Germany in the most affected countries will evolve with pandemic growth and of containment measures.
In Italy the 20 and 21 September, the result of the regional by-elections and the referendum on constitutional reform could be the cause of an increase in volatility on the entire European bond market and Euro.

A Euro whose remuneration is in free fall, taking its profits against the dollar.

The equity indices bearich.

decoUS 10 year government at 0.701

Bond 10 year USA

Buyer Pressure Seller Pressure

Basic trend : Technical recovery

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The predominant buying pressure increases by sudden, the selling pressure increases slowly.

For this week, the US 10 year should continue to evolve in a range 0.745 / 0.623 with an axis of 0.680.

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Resistances 0.716 0.729 0.745 0.791 0.832 0.845 0.854
Supports 0.697 0.680 0.663 0.652 0.645 0.623 0.581
Points AB 0.520 0.583 0.620 0.685 0.770 0.800 0.870
Volatility HV * D. 21 D. 252
Ave. Range * Daily 0.048 Weekly 0.107
Max. Weekly Range * 0.594 0.808
Spread 10Y/3M Pressure R / S 0.471 0.537 0.576 0.603 0.669
T-Bill 3M Pressure Range * 0.077 0.131
Points AB T-B 3M 0.070 0.080 0.093 0.095 0.119 0.130
FRA-OIS $ Level 0.14 Pres. Level 0.12 0.16 0.19
TED Level 0.13 Pres. Level 0.11 0.16

* Anticipated


decoGerman 10 year government at - 0.483

Bond 10 year Germany

Buyer Pressure Seller Pressure

Basic trend : Technical recovery

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Buying pressure and predominant selling pressure are slowly declining.

For this week, the German 10 year should not leave its range -0.512 or -0.526 / -0.371 with an unchanged axis at -0.465.

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Resistances - 0.479 - 0.465 - 0.443 - 0.421 - 0.408 - 0.371 - 0.335
Supports - 0.493 - 0.512 - 0.526 - 0.535 - 0.559 - 0.598 - 0.608
Points AB - 0.567 - 0.518 - 0.468 - 0.460 - 0.416 - 0.368
Volatility HV * D. 21 D. 252
Ave. Range * Daily 0.043 Weekly 0.096
Max. Weekly Range * - 0.579 - 0.387
Spread US vs GER Pres. Level 1.109 1.149 1.189 1.206 1.251
Spread ITA vs GER Pres. Level 1.370 1.439 1.509 1.580 1.651

* Anticipated


decoFrench 10 year government at - 0.220

Bond 10 year French

Buyer Pressure Seller Pressure

Basic trend : Bearish

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Buying pressure and the predominant selling pressure decline at a steady speed.

For this week, the French 10 year should not break its support -0.247 to continue to evolve in the lower range -0.247 / -0.114 with an axis at -0.158.

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Resistances - 0.216 - 0.202 - 0.178 - 0.156 - 0.124 - 0.114 - 0.075
Supports - 0.233 - 0.247 - 0.263 - 0.276 - 0.302 - 0.346 - 0.352
Points AB - 0.268 - 0.247 - 0.177 - 0.166 - 0.127 - 0.067
Volatility HV * D. 21 D. 252
Ave. Range * Daily 0.043 Weekly 0.095
Max. Weekly Range * - 0.315 - 0.125
Spread FR vs GER Pres. Level 0.237 0.258 0.275 0.299 0.320

* Anticipated


decoWorld 10 year government

U.E Bond 10 year Spreads

U.E Bond 10 year Spreads

Bond Italy 10 year

Buyer Pres. Seller Pres.

Italy 10 year government

Bond Spain 10 year

Buyer Pres. Seller Pres.

Spain 10 year government

Bond Japan 10 year

Buyer Pres. Seller Pres.

Japan 10 year government

Bond China 10 year

Buyer Pres. Seller Pres.

China 10 year government

Bond UK 10 year

Buyer Pres.Seller Pres.

U.K 10 year government

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decoEURUSD at 1.1840

EURUSD

Buyer Pressure Seller Pressure

Basic trend : Bullish

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The predominant buying pressure progresses at an irregular speed, the selling pressure increases by accelerating its speed.

For this week, the single currency should come to test its support area 1.1717 / 1.1691. Its bullish movements should be limited to its resistance 1.1917.

For this product follow the trend with the system S.T.A. Available
This week high probability of a abrupt movement. Maximum daily variation : 0.0101 Pts
Resistances 1.1853 1.1875 1.1890 1.1917 1.1956 1.1983 1.2001 1.2012
Supports 1.1830 1.1817 1.1751 1.1717 1.1691 1.1681 1.1668 1.1623
Volatility HV * D. 21 D. 252
Ave. Range * Daily 0.0076 Weekly 0.0166
Max. Weekly Range * 1.1674 1.1996
FRA-OIS € Level - 0.033 Pres. Level - 0.049 - 0.036 - 0.023 - 0.012
DXY points AB 91.76 92.19 92.72 93.22 93.70 94.68

* Anticipated


decoCurrencies World

Euro

EUR

Dollar

USD

Yuan

CNY

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decoSP500 Index at 3319

Indice SP500

Buyer Pressure Seller Pressure

Basic trend : Bullish

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The predominant buying pressure starts a downward movement, the selling pressure progresses at a steady speed.

This week, the index is expected to come to its support area 3227 / 3214. Its bullish movements should be limited to its resistance 3378.

For this products follow the trend with the system S.T.A. Available
Resistances 3321 3337 3347 3378 3393 3416 3430 3478
Supports 3298 3278 3251 3227 3214 3198 3182 3154
Volatility HV * D. 21 D. 252
Ave. Range * Daily 53 Pts Weekly 136 Pts
Max. Weekly Range * 3183 3455

* Anticipated

Implied volatility options SPX & SPY

As every week, the operations related to the weekend Theta are expected to exert bullish pressure on Monday and bearish pressure on Friday on implied volatility.

This week, implied volatility (SPX) declined very slightly across all maturities. The put / call (SPX) spreads remained stable over 30 days and 90 days.
For this week, this irrational period and the still high level of our volatility indicators do not make us work the vega even with the purchase of a butterfly.
Pending a clarification of the general situation, we will continue to prefer the delta with synthetics on short maturities.

VIX Index at 25.83
Trend * Target * 22/24
Resistances 26.32 28.80 29.28 33.78 36.20 38.28 40.10
Supports 24.78 23.01 22.87 20.28 19.74 18.56 17.92

* Anticipated


decoCAC40 Index at 4978

CAC40

Buyer Pressure Seller Pressure

Basic trend : Bullish

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The buying pressure starts a downward movement, the predominant selling pressure slowly declines.

For this week, the index should head towards the lower part of its range by testing its support area 4871 / 4865. Its bullish movements should be limited to its resistance 5041.

For this product follow the trend with the system S.T.A. Available
Resistances 4982 4993 5034 5041 5070 5093 5106
Supports 4969 4929 4893 4871 4835 4806 4761
Volatility HV * D. 21 D. 252
Ave. Range * Daily 64 Pts Weekly 166 Pts
Max. Weekly Range * 4812 5144

* Anticipated


decoEquity indices World

America Indices

Dow Jones / Nasdaq / TSX

EU Indices

Eurostoxx 50 / Dax / Footsie

Asia Indices

Nikkei / Hang Seng

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