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Japanese Yen Futures Volatility Forecast (13/02/2011)

The Japanese futures market went through an extremely anomalous week where the volatility dropped sharply but the price unexpectedly plummeted to 120.

The current volatility is 0.41% (6.5% annualised) and it will probably tend to increase over the next trading days in order to get back in the 0.5% (7.9% in annual terms) which is the equilibrium level for Yen futures.

The price could drop to 119.4 in the first 2 days of the week but it should then remain stable around the 120 zone because this week a sideways movement should be the most probable scenario.

The sharp drop in price accompanied by an even heavier plunge in volatility should be interpreted as a warning signal and we believe that the next days will see a shy movement of the market with Yen futures prices fluctuating between 119.5 and 120.5

The staff of HyperVolatility will remain flat this week. Alternatively we will try to take advantage of the very short term movement of the price trading on an intra-day basis.

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