Swiss Franc Futures Volatility Forecast (01/02/2011)

The Swiss Franc Futures were expected to rise in price and the last week we suggested remaining bullish and placing some long positions. Even this time our forecasts were correct since the closing price on Friday achieved 106.

The current volatility is back at the equilibrium level which is 0.63% (9.9% annualised) and it seems that the TGARCH volatility curve is going to rise in the short period highlighting an increase in market volatility although the augment should be quite constrained.

Overall, Swiss Franc futures prices should keep raising during the next days and the 106.50 area could be achieved by the end of the week.

On the other hand, the continuous, although small, volatility climbs could be interpreted as a warning signal. The staff of HyperVolatility suggests you to stay long but some short term drops in price have to be expected.

Leave a Reply

Your email address will not be published. Required fields are marked *

Go back to top