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British Pound Futures Volatility Forecast (08/02/2011)

British Pound futures opened at 162.6 on Monday, rose to 164 on Tuesday, dropped to 163.1 on Wednesday, settled at 163.4 on Thursday and closed at 164 .08 on Friday.

The current volatility is 0.31% (4.9% annualised) and the TGARCH is showing an upward sloping curve whose analysis seems suggesting that the upcoming days will see an increase in price fluctuations.

Furthermore, British Pound futures are very close to the historically robust resistance point placed at 1.65 and only an ulterior strong depreciation of the US dollar caused by severe macroeconomics news could push investors above this level.

The HyperVolatility team is bearish British Pound futures because the volatility curve should augment in the upcoming days causing an ulterior weakening of the price action whilst the strong psychological threshold, that is1.65, should not be violated.

Consequently, a short term augment of the conditional variance is likely to drag futures prices back down in the 161 zone by Friday.

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