British Pound Futures Volatility Forecast (18/04/2011)

The HyperVolatility team was waiting for a good opportunity to place a long position but as we suggested the last week without a clear sign of price recovery we would not enter the market.

Effectively, British Pound futures went through a quite choppy week because the market opened at 163.2 dropped to 162.5 but closed at 162.8 on Friday whilst the volatility increased to 0.58% and then plummeted to 0.54%(9.2% and 8.5% respectively) as we correctly anticipated the last week.

The volatility plot is now displaying a clearly downward sloping curve which is probably going to touch 0.46% – 0.48% (7.3% – 7.6% annualised) by the end of the upcoming week. Consequently, British Pound futures should head north and retest the 164 – 165 area but it is likely that prices will settle around these values once this target will get hit.

The HyperVolatility team is still bullish on this market and we believe that the depreciation of the US Dollar against Her Majesty’s currency, the decreasing volatility and the augmenting volume figures constitute a reasonable basis, both fundamentally and statistically speaking, for our long positions.

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