I test for the presence of asymmetric volatility in the Swiss Franc cross-rate futures markets. My investigation is based on a variant of the heterogeneous autoregressive volatility model, using daily realized variance and return series from 2004 through 2009. I find that a decline in futures returns, while apparently leading to lower volatility asymmetry, is in fact due to the lack of inclusion of longer-term absolute return effects and jumps in the return series.