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Swiss Franc Futures Volatility Forecast (17/01/2011)

The Swiss Franc futures recently dropped after having touched 105.5 and the ending part of the volatility plot evidently shows an augmented market fluctuations rate. The current volatility is 0.68% (10.7% in annualised terms) and this level constituted the equilibrium point over the last 5 months, hence, it is not wrong to state that the curve touched the “bottom”.

Consequently, the volatility could easily rise during this week because it appears that chaos and uncertainty are still strong feelings amongst investors. Accordingly, the price could easily drop in the 103 -104 area and the volatility could touch 0.75% (11.9% annualised) over the next trading days.

The staff of HyperVolatility is bearish on Swiss Franc futures, at least in the short term, and advises you to look for sell opportunities. Nonetheless, in the medium term the Swiss futures should keep rising but before saying this we should start seeing some serious volume coming in.

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