Swiss Franc Futures Volatility Forecast (20/02/2011)

The last week we forecasted a rise in volatility close to the 0.8% area (12.6% annualised) and the “prediction” proved to be more than efficient since the actual figure is around 0.9% (14.2% annualised).

On the other hand, the drop in price which should have accompanied the rise in volatility did not occur and Swiss Franc futures rallied to 105.5 by the last Friday.

To us, this is a warning signal because such a sharp rally should have provoked the opposite effect and should have dragged the curve down to its equilibrium level which is set to be around 0.65% (10.3% annualised).

The staff of HyperVolatility is moderately bearish on Swiss Franc futures because the TGARCH plot should achieve 1% (15.8% annualised) and the price should retest the 104.5 area by the end of the next week, US market movers permitting.

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