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Swiss Franc Futures Volatility Forecast (13/12/2010)

The rally experienced by Swiss Franc futures was successfully forecasted the last week and the staff of HyperVolatility remains bullish on this market in the long term. However, there could be some surprises in the short run.

Specifically, the actual volatility is now at 0.65% (10.3% in annualised terms) and if we consider the estimations over the last 5 months we can easily notice that the current volatility figure is right in the middle. Therefore, it is likely for the market to experience a very short term retracement with prices testing again the 101 level and volatility rising to 0.75% (12% annualised) before reverting again towards its equilibrium point.

Consequently, this week could be a bit volatile with prices heading south for a few days but we strongly recommend you not to sell your long positions because, given the current economic conditions, a further rally of Swiss Franc futures is likely to occur soon.

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