British Pound Futures Volatility Forecast (20/02/2011)

The volatility topped at 0.64%(10.1% in annual terms) as correctly forecasted the last week and the sideways movement was the predominant trend in the market but the last 2 days saw a big rally which dragged Pound futures to 162.3.

The actual volatility is 0.57% (9% annualised) but the downward sloping curve suggests that the aforementioned figure is going to decrease in value in the upcoming days. Specifically, the TGARCH curve could bottom around 0.52% (8.2% in annual terms) accompanying a further surge of British Pound futures.

The staff of HyperVolatility is bullish on this market and we will try to take advantage of the up move by placing some long in the next days since the price should achieve the 163.5 area by the next Friday. The aforementioned analysis could be “twisted” by the American macros that are going to be announced on Thursday and Friday.

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