What's the worst case scenario for euro? Estimating EUR/USD's 50% odds scenario
|The Volatility Markets Pocket Risk Department uses statistical methods to estimate a security's worst case scenario. This article will address the worst case scenario price and payout for Euro EURUSD for the next 1Y.
Executive summary
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The last spot price was € 0.9875.
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Over the past 20 days, the high was € 1.0152 and the low was €0.9831.
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Over the past 20 days, historical volatility performed at 13.4849 % This roughly translates into an expectation of a 0.8428% move in price per day.
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If markets remain as volatile as they have been, we are 95% sure that the price won't trade higher to the €1.2769 level within the next 1Y.
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If markets remain as volatile as they have been, we are 95% sure that the price won't trade lower to the €0.6981 level within the next 1Y.
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If markets remain as volatile as they have been, we are 95% sure that the price won't make or lose more than 29.3063% within the next 1Y.
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The largest drawdown in the dataset was -1.5134%.
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The largest up day in the dataset was 1.3771%.
Market skew
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The largest drawdown in the dataset was -1.5134%.
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The largest up day in the dataset was 1.3771%.
Worst case scenario price
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If markets remain as volatile as they have been, we are 95% sure that the price won't trade higher to the €1.2769 level within the next 1Y.
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If markets remain as volatile as they have been, we are 95% sure that the price won't trade lower to the €0.6981 level within the next 1Y.
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If markets remain as volatile as they have been, we are 95% sure that the price won't make or lose more than 29.3063% within the next 1Y.
Worst case scenario payout
If markets remain as volatile as they have been, we are 95% sure that the price won't make or lose more than 29.3063% within the next 1Y
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