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Swiss Franc Futures Volatility Forecast (29/05/2011)

The “great depression” which hit the US dollar obviously created a domino effect which helped futures prices to touch new highs. In particular, Swiss Franc futures opened at 113.2 climbed to 114.6 on Wednesday, they jumped to 115.4 on Thursday but the closing price registered on Friday, precisely 117,3 was really unexpected.

The volatility is now 0.6% (9.5% in annual terms) and the TGARCH chart is showing a dropping curve which seems highlighting the steady and robust recovery of the Swiss Franc against the US dollar.

The actual price level is clearly an indication that many investors still prefer a safe investment like the Swiss currency to a more risky, volatile and less predictable markets such as equity indices.

The volatility is likely to remain at this level and eventually plunge even more over the next trading days, although 0.55% (8.7% annualised) should be a concrete support, and consequently futures prices are going to head north once again.

The HyperVolatility team is bullish Swiss Franc Futures and we will place some longs as soon as we can because it is quite possible that the price will be lifted in the 118 – 118.5 area by the end of the next week.

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