What's the worst case scenario for euro? Estimating EUR/USD's 50% odds scenario

Barry Weinstein Volatility Markets Newswire

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

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

The largest drawdown in the dataset was -1.5134%.
The largest up day in the dataset was 1.3771%.

Worst case scenario price

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

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

Author

Barry Weinstein

Volatility Markets Newswire

Barry Weinstein was a forex derivatives trader at BlueCrest Capital which was one of the largest hedge funds in Europe and then joined Credit Suisse where he assisted in running one of the largest FX Options portfolios in Europe.

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