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Swiss Franc Futures Volatility Forecast (03/04/2011)

The first attempt to push Swiss Franc futures towards the 110 area has been vanished by bears which first dragged the price down to 108.6 and, after a sideways week, managed to bring futures prices into the 108.1 zone.

What happened to volatility? Absolutely nothing!!! The TGARCH plot is extremely flat and the curve is fluctuating around 0.6% (9.5% annualised) but this level is visibly a balance point. The low volatility has been mainly caused by the sideways movement which characterised the entire week and even the last plummet of Swiss Franc futures did not change investors’ market view.

The TGARCH curve should remain almost stable and oscillate between 0.62% and 0.68% (9.8% and 10.7% respectively) but futures prices should head north once again and retest the 109 – 109.5 area by the end of the next week.

The HyperVolatility team will try to place some longs as soon as the market is going to open because we believe that the “depreciation process” of the US dollar against the Swiss currency is not over yet.

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