Swiss Franc Futures Volatility Forecast (31/10/2010)

The Swiss Franc experienced a sharp decrease of volatility over the past few weeks and HyperVolatility, more than once, suggested to get out of the long positions since a retracement was about to happen and SO IT WAS !!!

The chart is clearly showing an increase in volatility that accompanied a drop of the price which is currently trading around 101.65. However, this is a crucial point since the 0.8% TGARCH volatility is the maximum reading experienced by this market over the last 5 months and the most reasonable question now is : what’s next?

The staff of HyperVolatility believes that the corrective movement is not over yet and that it would not be surprising to see  the price falling to 100 before bouncing back. We expect the volatility to increase and overcome the 1% threshold even if the macro data which will be released this week can prove decisive.

Swiss Franc Futures Volatility Forecast (24/10/2010)

The Swiss Franc futures show again little volatility. However, the correction we forecasted 1 week ago is currently pushing down the market.

Moreover, the volatilty increase (from 0.5% to 0.8%) is likely to continue, hence, our concerns about an extended low level of volatility proved to be a significant indicator for investors. In fact, over the last 2 weeks HyperVolatility suggested to look for shorts rather than adding long positions.

On the other hand, we remain bullish on the Swiss Franc since a fully recovery is yet to come and therefore many people will look to invest in safe heavens. In the next week we will probably see a continuation of the current down trend but bulls could easily get back in the market at any time.

The staff of HyperVolatility suggests to remain bearish in the very short-term and to close out shorts as soon as any reversal signal breaks in.

Euro Futures Volatility Forecast (24/10/2010)

The Euro Futures is now experiencing a bit of a sideways market and the TGARCH volatility clearly captures this.

However, the volatility is fluctuating between 0.5 % and 1% and it is signalling that the retracement we were talking about the last week could hit the market even the next one.

This is a market that should be carefully watched because during the G20 meeting held on the 23rd of October, many finance ministers declared their will to limit exchange rates fluctuations in order to avoid sharp depreciations due to speculative actions.Hence, the next week we will see how investors and traders are going to react to such an announcement.

HyperVolatility still considers the volatility in this market to be too low.However, a decisive intervention of the ECB or the Chinese Government could seriously affect the Euro Futures market fluctuations.

Swiss Franc Futures Volatility Forecast (17/10/2010)

The decision to introduce the Swiss Franc in weekly analysis that HyperVolatility proposes is correlated to the importance that such a currency has in determining the good health of global economy. Specifically, during financial crises or politically troubled periods investors are rather risk-reluctant and tend to prefer old school investment strategies and secure commodities. Switzerland is well known in the world for the stability of its banking system and historical data shows increasing cash flows getting into this country when political or financial downturns happened. Consequently, when investors put money in Swiss bank accounts they are effectively buying swiss franc and therefore the greater is the fear in the market the higher the swiss franc will go.

As we can see the TGARCH volatility is ridiculously low and the highest level does not even reach 1%. Such a volatility plot clearly confirms the steady, robust and constant uptrend that the Swiss Franc Futures market is currently experiencing.  The next weeks will be very interesting because if volatility manages to break through 1% a sharp movement will be likely to happen in the market. We are still bullish on Swiss Franc but short-term retracements could happen at any time.

EUR/USD Futures Volatility Forecast (17/10/2010)

The recent fluctuations that the Euro FX market had in Chicago seems to suggest a sudden change of direction.

The TGARCH volatility is not in a steady downtrend anymore but it started to jump up and down and it appears that a movement towards the 1 % level is on the way. An augment in volatility will  probably signify a downward movement of the market which will inevitably lead to an appreciation of the US dollar against the euro.

However, the next weeks will surely show a great battle between bears and bulls. Particularly interesting is the intervention of the Chinese government which is trying to buy more US dollars in order to keep its export competitive and therefore caution is needed in this market which is tremendously extended and likely to experience a retracement.

EUR/USD Futures Volatility Forecast (13/10/2010)

The Euro vs Dollar Futures traded in Chicago provide investors and traders with information regarding the future fluctuation of the EUR/USD spot market.                     The TGARCH volatility chart plots a “curious” development of the conditional standard deviation. Clearly, the average volatility experienced by this market is around 0.6% and it remained stable over the last 5 months although in June there was a sharp drop which happened to coincide with the lowest value of the Euro against the Dollar (around 1,22). It is important to notice that a decline in volatility estimation should usually drive the market down but this was not the case and such a signal should have been interpreted as a warning. In fact, since then the price dispersion was quite limited within narrow boundaries backing the bulls ,however, a rise in conditional variance is probable to occur. Consequently, a depreciation of the Euro against the Dollar should be expected in the near future.

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