British Pound Futures Volatility Forecast (19/09/2011)

British Pound futures opened at 158.4 on Monday, dropped to 157.77 on Tuesday, closed at 157.71 on Wednesday, jumped to 158 on Thursday and settled at 157.9 on Friday.

The current volatility is 0.54% (8.5% in annual terms) but the volatility curve seems to have reached a mean reverting point and it looks like that the upcoming trading days will probably see a softening of market fluctuations. However, British Pound futures went through a bearish week, that caused the conditional variance to increase, and the fact that the volatility is now ready to decrease is signalling that the down move is likely to be over.

The fact that the conditional variance is still high means that some short term bursts are still possible, however, the overall week should see British Pound futures in a shy uptrend. Consequently, the 1.60 area could be eventually retested by the end of the week.

Finally, the FOMC statement on Wednesday remains the key event of the week and should be carefully monitored.

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