Swiss Franc Futures Volatility (13/02/2011)

The Swiss Franc futures plummeted as forecasted last week but rather than jumping back up again the price closed at 102.77.

The volatility was expected to raise and then collapse to its equilibrium level but the TGARCH plot shows that market fluctuations are probably going to augment even in the following week.

The current volatility is 0.75% (11.9% annualised) but it could achieve 0.8% -0.83% (12.6% – 13.1% in annual terms) by the end of the week dragging down the price in the 102 area which should be an efficient support.

The staff of HyperVolatility is bearish on Swiss Franc futures and the bear market movements experienced in the previous days should continue during the week. We will keep shorting futures and possibly close out all our positions by Friday.

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