Japanese Yen Futures Volatility Forecast (05/10/2011)

Japanese Yen opened at 130.9 on Monday, touched 130.1 on Tuesday, achieved 130.8 on Wednesday, plunged to 130.3 on Thursday and settled at 129.7 on Friday.

The actual volatility is 0.53% (8.4% annualised) and the TGARCH plot is now displaying a fairly stable volatility curve which is likely to remain at this level even in the upcoming trading days.

However, a short term burst of the conditional variance could very easily occur and that would imply an increase in the buying pressure which would probably push higher the price action.

The HyperVolatility team is neither bullish nor bearish Japanese Yen futures because the volatility should remain at current levels even though some oscillations are highly probable.

The price action should remain around the 130.6 -130.8 level throughout the entire week but a worst than expected news could easily change the scenario and push Japanese Yen futures towards the 131 threshold.

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