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Japanese Yen Futures Volatility Forecast (27/03/2011)

We were bearish on Japanese Yen futures and we were expecting the price to fall in the 123.5 – 124 area but our forecasts proved even more profitable because Yen futures plummeted to 123.

Furthermore, the market immediately showed its intentions to head south because its opening on Monday was at 123.48 and, although the price tried to recover, it did not manage to break through the 123.6 resistance for 3 consecutive days and therefore the drop on Friday was almost largely expected by traders.

The volatility is around 0.4% (6.3% annualised) but the TGARCH curve is still upward sloping signalling that the down movement has not fully completed its cycle.

Consequently, the volatility curve should achieve 0.55% – 0.6% (8.7% – 9.5% in annual terms) by the end of the week whilst the Yen should keep appreciating against the US dollar and plummet in the 121.5 – 122 zone.

The staff of HyperVolatility is still bearish on this market and we believe that futures will move down even in the upcoming days. However, should the volatility reach the 0.55% – 0.6% area before the next Friday the market should stabilise and move sideways until the end of the week.

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