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British Pound Futures Volatility Forecast (13/11/2010)

We introduce the analysis of the British Pound Futures this week in order to increase the coverage of the most important and heavily traded currencies in the world.

The British Pound like many other currencies has experienced a steady uptrend with some obvious retracement which had the effect to confirm the strenght of the upward movement rather than undermining its stability. The TGARCH volatility plot clearly highlights the fact that the uptrend was robust since market fluctuations,excluding some peaks that almost touched 1% (16% in terms of annualised volatility), are rather narrow.

However,it has to be pointed out that the the rise in British Pound Futures is a mere consequence of the “dollar bearishness” and therefore the staff of HyperVolatility thinks that a retracement of this market could easily occur with prices falling down to the 150 area.  Indeed, the volatility is too low and we believe that an adjustment, backed by a strengthening of the dollar, could easily wipe out the earnings accrued so far.

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