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Japanese Yen Futures Volatility Forecast (10/04/2011)

The Japanese Yen futures went through a very choppy week. Indeed, prices opened at 119.05 dropped to 117.11 but 118.07 was the registered closing price the last Friday.

The current volatility is 0.58% (9.2% annualised) and the chart is now displaying an upward sloping curve which will probably keep rising over the next trading days.

Nevertheless, market fluctuations should not be wild because the volatility curve is fluctuating within its equilibrium point, hence, the mean-reverting level could be 0.65% (10.3% in annual terms).

The HyperVolatility team remains bullish on Japanese Yen futures because the Dollar should keep appreciating against the Yen in the short term.

Consequently, we will try to place some longs when the market is going to show the right opportunity with stable volatility fluctuations because the market should achieve 120 – 121 by the end of the week.

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