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Swiss Franc Futures Volatility Forecast (06/02/2011)

The last week we suggested remaining longs even if we advised you to constantly watch your position due to the instability the Swiss Franc Futures was going through. Effectively, the fluctuations have been wide and serious gains have been earned in the first 3 days of the week even if the decline in price changed the goodness of our forecasts.

The current volatility is now at 0.65% (10.3% in annual terms) whilst the price is in the 104.77 area and it would appear that market fluctuations are going to sensibly rise in the short term. Specifically, the first part of the week could see an increment in the TGARCH curve which could touch 0.7% (11.1% annualised) but there should be a quick turn back that is going to drag the volatility back in the 0.6% area (9.5% in annual terms).

Consequently, the price could head south in first 2 days and touch 104.3 -104.5 but by the end of the week Swiss Franc Futures should climb back into the 106 zone.

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