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Japanese Yen Futures Volatility Forecast (19/12/2010)

As correctly forecasted the last week the volatility did not change much and the plot is clearing showing a situation where market fluctuations remained in the 0.5% (7.9% annualised).

The price moved in a narrow range during the week and the next week could see a shy movement of Yen futures before Christmas.  This market should sensibly rise during the next week and the volatility should stay constant between the 0.5% – 0.65% range (7.9% – 10.3% annualised).

The staff of HyperVolatility is still bullish on Yen futures because the great steadiness and tendency of volatility to revert towards its mean point is a signal that investors are still holding their long positions and therefore are accumulating in the expectation of a further rally of the price which could test again the 125 area. A buy and hold strategy will result profitable in the medium term.

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