GAFNN.com Blog

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.

The last week we were bullish Swiss Franc futures and our analysis proved to be extremely profitable once again. In fact, the market opened at 117.3 it rose to 118.6 on Wednesday, moved to 118.7 on Thursday and closed at 119.9 on Friday. A great trade indeed!!

The steady and continuous augment of futures prices has been helped by the rough conditions which most equity indices had to deal with because of the macroeconomics news announcement.

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 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 last week we were bearish Swiss Franc futures but the rally experienced by this market over the last trading days signalled that that the high volatility measurement was nothing but a “fake-head”.    



The current volatility is 0.63% (9.9% annualised) and the TGARCH plot is clearly displaying a fairly stable scenario where the conditional variance is fluctuating within a narrow range which coincides with its equilibrium point.

The sharp augment in volatility which is visible in the chart has been counterbalanced by an even more violent mean reverting process which evened out the oscillation rate.

The HyperVolatility team was right once again!!! The Swiss Franc futures prices rose to 112 whilst our expectations were around the 110.5 - 111 area and therefore our forecast earned our readers higher than expected profits.                               




The current volatility is around 0.64% (10.1% annualised) but the TGARCH curve is once again fluctuating within the equilibrium point although the right hand part of the chart is displaying an upward sloping curve.

Swiss franc futures should keep raising, even if we reckon that a short term retracement is on its way, and it would not be surprising to see a sideways movement of the market once the 112.5 - 112.7 area gets hit.

The last week we were bullish on Swiss Franc futures and effectively our analysis proved quite accurate and profitable. Specifically, futures prices opened at 108.3 achieved 109.1 on Thursday and rallied to 110.1 on Friday whilst the volatility plot remained practically unchanged.              

The actual volatility is around 0.6% (9.5% annualised) and it is right at the bottom of the equilibrium level which has been violated by the TGARCH curve very rarely. Therefore, some small fluctuations are going to be expected over the next trading days although the 0.7% - 0.72% area (11.1% - 11.4% annualised) should not be surpassed.

The first attempt to push Swiss Franc futures towards the 110 area has been vanished by bears which first dragged the price down to 108.6 and, after a sideways week, managed to bring futures prices into the 108.1 zone.

What happened to volatility? Absolutely nothing!!! The TGARCH plot is extremely flat and the curve is fluctuating around 0.6% (9.5% annualised) but this level is visibly a balance point. The low volatility has been mainly caused by the sideways movement which characterised the entire week and even the last plummet of Swiss Franc futures did not change investors’ market view.

The last week we announced we would not immediately enter our long positions because a sideways movement was likely to happen during the first trading days. Effectively, the market traded around 110.6 and 110.7 for almost 2 days before dropping to 108.7 on Friday even if such a sharp plummet has not been accompanied by a large rise in volatility.

The TGARCH curve is extremely flat and the chart displays a very stable situation since the conditional variance has clearly touched its equilibrium point at 0.61% (9.6% annualised) and given the large drop in price occurred on Friday this is quite suspicious.

The last week we forecasted a bullish movement of Swiss Franc futures caused by the Japanese crises and by the great tensions provoked by Libyan riots and indeed the market rallied to 111. We were right once again!!!

The Swiss currency is always considered to be a safe type of investment and therefore any international problems (wars, financial crises or natural disasters) will attract many investors willing to protect their portfolios towards this market.