Forex Volatility

The following table represent the currency's daily variation measured in Pip, in $ and in % with a size of contract at $ 100'000. You have to define the period to calculate the average of the volatility. It could be interesting to trade the pair which offer the best volatility.

Formula : Variation = Average (Higher - Lower)

Pair Trend pips $ %
AUDCAD - 82.471 626.25 0.84
AUDCHF - 73.277 743.02 0.99
AUDHKD - 645.402 832.03 1.11
AUDJPY - 138.113 1300.25 0.02
AUDNZD - 83.684 585.12 0.78
AUDSGD - 83.532 613.75 0.82
AUDUSD - 83.723 837.23 1.12
CADCHF - 64.743 656.49 0.86
CADHKD - 535.12 689.85 0.91
CADJPY - 130.423 1227.86 0.02
CADSGD - 78.972 580.25 0.76
CHFHKD - 574.278 740.34 0.73
CHFJPY - 145.61 1370.83 0.01
CHFZAR - 2692.82 1884.69 1.86
EURAUD - 134.47 1006.51 0.92
EURCAD - 125.31 951.55 0.87
EURCHF - 61.512 623.73 0.57
EURCZK - 274.98 111.8 0.1
EURDKK - 38.784 57.28 0.05
EURGBP - 111.416 1463.11 1.33
EURHKD - 708.752 913.69 0.83
EURHUF - 166.734 585.94 0.01
EURJPY - 167.862 1580.32 0.01
EURNOK - 716.312 835.86 0.76
EURNZD - 169.216 1183.16 1.08
EURPLN - 341.35 860.02 0.78
EURSEK - 521.134 602.24 0.55
EURSGD - 99.65 732.18 0.67
EURTRY - 374.544 1236 1.12
EURUSD - 91.97 919.7 0.84
EURZAR - 2755.64 1928.65 1.76
GBPAUD - 279.958 2095.49 1.6
GBPCAD - 257.078 1952.15 1.49
GBPCHF - 206.688 2095.8 1.6
GBPHKD - 1657.742 2137.09 1.63
GBPJPY - 328.926 3096.65 0.02
GBPNZD - 321.132 2245.35 1.71
GBPPLN - 804.49 2026.88 1.54
GBPSGD - 265.206 1948.61 1.48
GBPUSD - 214.19 2141.9 1.63
GBPZAR - 3932.14 2752.08 2.1
HKDJPY - 1688.5 158.96 1.23
NZDCAD - 96.335 731.53 1.05
NZDCHF - 77.716 788.03 1.13
NZDHKD - 652.444 841.1 1.2
NZDJPY - 126.651 1192.35 0.02
NZDSGD - 92.088 676.62 0.97
NZDUSD - 84.454 844.54 1.21
SGDCHF - 48.198 488.72 0.67
SGDHKD - 323.614 417.19 0.57
SGDJPY - 103.641 975.72 0.01
TRYJPY - 69.452 653.85 0.02
USDCAD - 116.714 886.28 0.89
USDCHF - 71.257 722.54 0.72
USDCNH - 203.676 304.5 0.3
USDCZK - 1996.42 811.72 0.81
USDDKK - 546.162 806.58 0.81
USDHKD - 29.448 37.96 0.04
USDHUF - 286.306 1006.14 0.01
USDINR - 33.033 490.76 0
USDJPY - 131.355 1236.63 0.01
USDMXN - 2565.46 1380.04 1.38
USDNOK - 994.104 1160.01 1.16
USDPLN - 470.132 1184.48 1.18
USDSAR - 6.408 17.09 0.02
USDSEK - 859.466 993.23 0.99
USDSGD - 77.86 572.08 0.57
USDTHB - 14.123 403.17 0
USDTRY - 352.54 1163.38 1.16
USDZAR - 2811.48 1967.73 1.97
ZARJPY - 16.817 158.32 0.02

The volatility calculated on this page is called Average true range (ATR). It is calculated by taking the average of the difference between the highest and the lowest of each day over a given period.
For example, with this method, let's calculate the volatility of the Euro dollar over three days with the following data

  • First day: The Euro Dollar marks a low point at 1.3050 and a high point at 1.3300
  • Second day: EURUSD varies between 1.3100 and 1.3300
  • Third day: the low point is 1.3200 and the high point is 1.3350

The Highest - Lowest difference over the three days is 250pips, 200pips and 150pips, or an average of 200pips. We will say that the volatility over the period is 200 pips on average.

The volatility is used to evaluate the potential for variation of a currency pair. For example, for intraday trading, it may appear more interesting to choose a pair which offers high volatility. Another use may be as an aid to fix the levels of objective or stop-loss, to place an intraday objective at 2 or 3 times the volatility may be a risky strategy; conversely, one may estimate that an objective of at least one times the volatility has more chance of being achieved.

Case studies

I wish to buy the Euro Dollar for an intraday trade at 1.3200. My objective is 100 pips. At the time when I want to open my trade, the low point for the day was 1.3100 and the average volatility is 150 pips, which means that on average one can estimate that the high point could be close to 1.3100+150 pips = 1.3250. Now my objective is 1.3300, or 50 pips above. In this case, my analysis shows that the EURUSD seems likely to have a stronger variation than on the previous days; I can open my position and maintain as my intraday objective 1.3300. However, if the rate shows no exceptional variation one may estimate that the objective will probably not be achieved during the day, which does not invalidate my analysis but defers my timing.

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