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Japanese Yen Futures Volatility Forecast (14/03/2011)

The situation in Japan is extremely complicated. The Earthquake destroyed practically everything and it seems that the area that has been hit the hardest by the Tsunami was the most productive of the entire country.

Specifically, some newspapers reported that the zone that has been most affected by the Tsunami accounted for something like the 15% of the entire GDP: what do you think investors are going to do now?

The actual volatility is around 0.55% (8.7% annualised) but the leverage effect, in this case, has not been respected because Japanese Yen futures rallied to 122 even if the TGARCH curve jumped up from 0.51% (8.1% in annual terms). Consequently, futures prices, because of the natural disaster, should head south and touch the 120 – 120.5 area by the end of the week.

The volatility could drop to 0.5 (7.9% annualised) before jumping back up to 0.6% (9.5% in annual terms) accompanying a sharp decline of prices.

The staff of HyperVolatility is extremely bearish on this market and looking for short positions seems to be the most intuitive and rational decision to make.

THE STAFF OF HYPERVOLATILITY TAKES THE OPPPORTUNITY TO EXPRESS HIS SOLIDARITY WITH JAPANESE PEOPLE.

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