The Swiss Franc did not manage to violate the 120 level and the upward sloping volatility curve clearly displays a situation of instability and violent market swings which is quite unusual for such a market. Particularly, the current volatility is 0.68% (10.7% in annual terms) and it is evident that the TGARCH plot is suggesting a further increase of the conditional variance over the next days which could potentially bring the oscillation rate in the 0.8% area (12.6% annualised).

As previously mentioned for both the Japanese Yen and British Pound futures, the sharp plummet in equity indices provoked an appreciation of the US dollar against the major currencies and the Swiss Franc did not constitute an exception to this rule.

On the other hand, we all know that the Swiss currency is often used by market participants as a lifebuoy when waters get rough but this was not the case: what happened?

The only logical answer we can give to such a movement is that the 120 threshold is a very robust resistance and many investors have been scared by the simultaneous occurrence of 2 key factors: the appreciation of the US dollar and the big selling pressure around the 120 level.

The HyperVolatility team remains bearish on Swiss Franc futures because the high volatility environment should push prices down in the 118 area by Friday.