Japanese Yen Futures Volatility Forecast (17/01/2011)

The Japanese Yen is going through a very difficult period and there is a lot of uncertainty surrounding this market. The actual volatility is now 0.5% (7.9% annualised) and the volatility curve seems to be quite stable.

However, the low volatility is, in reality, caused by a sideways movement of the price over the last week but the last 2 volatility spikes at the right end of the chart suggests that the price is about to drop.

Furthermore, if the dollar keeps strengthening the probability for the Yen futures to decrease will be largely increased. Therefore, by the end of the week we should have a volatility curve around 0.7% (11.1% annualised) and the price should fall into the 119 area.

The staff of HyperVolatility suggests to look at short opportunities and to time accurately the entry points since the uncertainty is still the predominant feeling.

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