The bearish view on the Swiss Franc was not confirmed by the price action which unexpectedly moved higher. Particularly, the market opened at 113.2 rose to 113.4 and closed 114 on Friday.

The actual volatility is now 0.58% (9.2% annualised) but the TGARCH curve is still trading in a very narrow range which is very close to where the conditional variance was one week ago.

The rise in futures prices has been mainly caused by a temporary depreciation of the Swiss Franc against the US dollar but an increase in the oscillation rate seems to be more statistically probable than an ulterior drop.

The market fluctuations rate should therefore augment and eventually touch the 0.7% - 0.72% area (11.1% - 11.4% annualised) by the next Friday whilst Swiss Franc futures should head south and retest 111.5 - 112 area.

The HyperVolatility team remains bearish on this market because the volume is dramatically decreasing whilst the volatility is now under heavy pressure and it is reasonable to expect a short-term explosion of the conditional variance with a consequent drop of futures prices.

Nevertheless, should the market plummet in the first half of the week we could see a sideways movement in the last 2 days of the upcoming week.