British Pound Futures Volatility Forecast (13/02/2011)

The last week we suggested you to short British Pound futures for the first 2 days and then go long again because the price would have tested the 161 area. Well, so it was!!! British Pound futures dropped for 2 days before jumping back up in the 160.9 area which proved to be a strong resistance level and after the second attempt to keep the futures in that trading zone the price finally dropped back to 160.01.

The actual volatility is 0.61% (9.6% in annual terms) and this is one the highest level ever achieved in the last 5 months by British Pound futures, hence, it is probable that the TGARCH curve will tend to mean revert.

The volatility could potentially reach its top at 0.64% (10.1% annualised) and then mean revert in order to touch 0.55% (8.7% in annual terms) by the end of the week.

The staff of HyperVolatility is going to play in the very short term (read intra-day). The price should decrease and touch the 159 area before settling down around this price and move sideways.

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