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Swiss Franc Futures Volatility Forecast (05/12/2010)

The sideways movements that we managed to forecast last week did not really change our long-term view on this market. We remain firmly bullish on Swiss Franc futures and the drop in volatility highlighted in the very last part of the curve is a very strong signal that this market will continue to rally.

The volatility reached 1.1% (17.5% annualised) and this was the highest measurement over the last 5 months. The previous week we suggested that a drop in volatility was very likely to happen and we were again right. Specifically, the volatility is now back to 0.95% (15% in annual terms) and the decrease is very likely to continue pushing the curve to 0.7% (11%annualised) by the end of the week.

The staff of HyperVolatility still suggest you a “buy and hold” strategy since the price of Swiss Franc futures should probably achieve 105-106 by the next Friday.

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