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.

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Executive summary

  • The last spot price was € 0.9875.

  • Over the past 20 days, the high was € 1.0152 and the low was €0.9831.

  • 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.

  • 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.

  • 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.

  • 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.

  • The largest drawdown in the dataset was -1.5134%.

  • 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%.

  • 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.

  • 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.

  • 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

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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

Volatility Markets provides trend following trade ideas for momentum traders. The Volatility Markets Newswire measures the direction and acceleration of a security and then structures a trade idea to capitalize on the trend. While trends have been shown to exist in markets over the past 100 years, they are no guarantee of future asset prices. You should take these ideas lightly and at your own risk.

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