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Swiss Franc Futures Volatility Forecast (21/03/2011)

The last week we forecasted a bullish movement of Swiss Franc futures caused by the Japanese crises and by the great tensions provoked by Libyan riots and indeed the market rallied to 111. We were right once again!!!

The Swiss currency is always considered to be a safe type of investment and therefore any international problems (wars, financial crises or natural disasters) will attract many investors willing to protect their portfolios towards this market.

The actual volatility is 0.78% (12.3% annualised) and the plot is now clearly displaying a downward sloping curve which will try to get back to its equilibrium point, placed around the 0.6% – 0.62% area (9.5% – 9.8% annualised).

The staff of HyperVolatility is still moderately bullish on Swiss Franc futures because, although the market seems to have assimilated the news from Asia, there is still a lot of fear regarding the military attack to Libya.

However, we will not enter immediately our long positions because a sideways movement is quite likely to occur and we will wait for the best opportunity. We believe that Swiss Franc Futures could achieve the 112.5 area by the end of the week.

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