Swiss Franc Futures Volatility Forecast (23/01/2011)

The rise in volatility predicted last week really happened and the 103-104 trading range suggested 1 week ago have been “respected” by the market.

The volatility plot for the Swiss Franc Futures continues to look extremely noisy signalling that a lot of uncertainty is still surrounding this market. Particularly, the TGARCH volatility curve touched 0.88% (13.9% annualised) whilst the price rallied to 104.37 highlighting a great imbalance between market fluctuations and price action.

However, the uptrend is likely to hold during this week as well because it is probable for the volatility to revert towards the 0.7% (11.1% in annualised terms) but the rally could easily come to an end soon and revert.

The staff of HyperVolatility is bullish in the very short term since the price could hit 105.35 – 105.85 but warns you against potential drops whose probability of happening increases as we approach the 105 zone.

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