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Japanese Yen Futures Volatility Forecast (13/11/2010)

Welcome to Japan. This is the other new entry for this week: Japanese Yen Futures

The Yen has been probably one of the greatest and most stable bull markets in the last 6 months because it did not experience any serious retracement, apart from a small dip at the beginning of October which brought the TGARCH volatility to readings close to 1% (16% in terms of annualised volatility).

We think bulls are not so strong anymore and the volatility is likely to increase soon with readings close to 1.5% 1.8% (23% – 28% annualised) because of 2 reasons:

1) The volatility is too low and a rise is likely to happen

2) The dollar is too depreciated and many bulls are now shifting their attention on the green buck

The staff of HyperVolatility recommend caution when trading this market on the long side because the probability for this market to continue to rally are now related to a potential QE3 programme which is not scheduled any time soon.

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