Japanese Yen Futures Volatility Forecast (06/02/2011)

The last week we were expecting the Japanese Yen Futures to achieve the 122-122.5 area and effectively so it was so the long positions we suggested you to place returned some good profits. Nonetheless, the Friday session was unpredictably bearish and dragged the price back to 121.71.

Admittedly, such a sharp drop surprised our staff too and we hope you managed to close out your positions in gain (practically on Thursday). The volatility curve exploded achieving 0.8% (12.6% annualised) and clearly such a rally accompanied the plunge of the price.

On the other hand, the TGARCH curve is now downward sloping and such a phenomenon indicates that the downward movement is about to end. Specifically, the volatility should get back to 0.5% – 0.55% (7.9% – 8.7% in annual terms) whilst the price should increase and probably touch 122.5 – 122.8 again.

The staff of HyperVolatility advises to remain bullish, at least for the next days, but constant attention will be needed because many data connected to the productivity and unemployment in US (Non-Farm Payrolls, etc) are going to be released this week.

Leave a Reply

Your email address will not be published. Required fields are marked *

Go back to top