Japanese Yen Futures Volatility Forecast (20/02/2011)

“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”: this is what we forecasted the last week. The Japanese Yen futures touched 190.4 on Tuesday and then closed at 120.4 on Friday: what a fantastic trade!!!

The current volatility is back to the equilibrium point which is 0.5% (7.9% in annual terms) but it seems that a further surge in the TGARCH curve is on its way. Consequently, the volatility curve should achieve 0.58% (9.2% annualised) and this could drive, although sensibly, the price down.

On the other hand, the TGARCH plot is quite stable meaning that the Japanese Yen futures market remains bullish.

The staff of HyperVolatility is moderately bullish on Yen futures although we would expect a short term drop of the price which should retest the 120 before jumping back up again and achieve the 120.6 area. Maximum attention is needed on Thursday and Friday because the US Initial Job Claims and the American GDP figures are going to be released

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