Swiss Franc Futures Volatility Forecast (27/02/2011)

The volatility of Swiss Franc futures went through a quite choppy period but it seems it has now stabilised around its equilibrium point which is set to be 0.7% (11.1% in annual terms).

The TGARCH curve is now at 0.8% (12.6% annualised) and, although upward sloping, it is reasonable to believe that the market will experience a short term increase in market fluctuations but the overall week should see a low level of volatility.

Consequently, the beginning of the next week could see the price dropping to 107.4 but it is likely that Swiss Franc futures will then rally to 108.5 by the next Friday.

The staff of HyperVolatility is bullish on this market and we will place some longs because the great stability of the volatility plot seems suggesting and supporting a boost of the price which could be potentially supported by another negative reading of US macros.

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