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Intraday Volatility Forecast

Intraday Volatility Forecast

Intraday Volatility Forecasts for DAX?, EURO STOXX 50? and Euro-Bund Futures are calculated based on trading data of the respective futures, the most important products traded on Eurex Exchange. The forecasts for the next 10 seconds, 1 minute and ten minutes are designed to help traders and other market participants to assess the likelihood of price changes, the risk involved in using certain automated strategies or to identify a good point in time for order submission.

Data provided

The following metrics are provided

? Average realized volatility: a reference for the last second is sent every second
? 10-second forecast: published every five seconds and covering the next three 10-second periods
? 1-minute forecast: published every 30 seconds and covering the next five 1-minute periods
? 10-minute forecast: published every five minutes, covering the three subsequent 10-minute periods

Calculation details

The Intraday Volatility Forecast is based on a proprietary mathematical model that uses historical futures data to forecast the direction (increasing or decreasing) and magnitude of volatility. The input going into the calculation can be grouped into three categories:


? Short-term memory of realized volatility
? Historical intraday seasonality
? Scheduled economic data releases

Data availability

The Intraday Volatility Forecast is disseminated via (a) the Eurex MIC (multi-interface-channel), (b) the 10 GB Eurex market data connection as well as (c) Deutsche B?rse’s data feeds CEF? Core and CEF ultra+ Eurex. A ~ 128 kbps bandwidth is required.


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Market Status

XEUR

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Parts of the trading system are currently experiencing technical issues

The trading system is currently experiencing technical issues

Production newsboard

The market status window is an indication regarding the current technical availability of the trading system. It indicates whether news board messages regarding current technical issues of the trading system have been published or will be published shortly.

We strongly recommend not to take any decisions based on the indications in the market status window but to always check the production news board for comprehensive information on an incident.

An instant update of the Market Status requires an enabled up-to date Java? version within the browser.

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