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

The last week we were bullish Swiss Franc futures and our analysis proved to be extremely profitable once again. In fact, the market opened at 117.3 it rose to 118.6 on Wednesday, moved to 118.7 on Thursday and closed at 119.9 on Friday. A great trade indeed!!!

The steady and continuous augment of futures prices has been helped by the rough conditions which most equity indices had to deal with because of the macroeconomics news announcement.

The volatility is now 0.61% (9.6% in annual terms) whilst the TGARCH plot displays a curve which is close to the equilibrium point, although the great plunge, which was correctly forecasted the last week, and that is likely to trade within this range also in the upcoming days.

The panic which dominated many equity indices during the last 4 days clearly pushed investors to seek safer forms of investment and that is precisely why Swiss Franc futures traded through the 118 – 118.5 threshold (our expected profit target).

The HyperVolatility team remains moderately bullish on this market because the conditional variance should not experience short term explosions although a sideways movement of the price could manifest itself in the first half of the week. Precisely, Swiss Franc futures should move laterally in the next 2 days but they should rise and eventually touch the 120.5 threshold by the end of Friday.

We will close our long positions as soon as the market reaches the abovementioned level because a breakthrough of this area would destabilise the robustness of the price action.

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