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 - 67.225 498.3 0.67
AUDCHF - 60.639 622.9 0.84
AUDHKD - 413.84 531.03 0.72
AUDJPY - 83.079 744.7 0.01
AUDNZD - 65.616 460.17 0.62
AUDSGD - 64.214 463.47 0.62
AUDUSD - 53.13 531.3 0.72
CADCHF - 56.481 580.18 0.78
CADHKD - 352.328 452.1 0.61
CADJPY - 80.735 723.69 0.01
CADSGD - 60.554 437.06 0.59
CHFHKD - 471.358 604.83 0.59
CHFJPY - 85.722 768.39 0.01
CHFZAR - 2238.38 1728.13 1.68
EURAUD - 113.188 840.53 0.75
EURCAD - 110.638 820.09 0.73
EURCHF - 38.176 392.15 0.35
EURCZK - 1185.24 502.3 0.45
EURDKK - 33.02 49.72 0.04
EURGBP - 57.855 745.75 0.67
EURHKD - 531.924 682.55 0.61
EURHUF - 125.276 456.69 0
EURJPY - 100.5 900.86 0.01
EURNOK - 590.594 701.86 0.63
EURNZD - 123.772 868.01 0.77
EURPLN - 238.434 639.95 0.57
EURSEK - 464.214 534.05 0.48
EURSGD - 78.002 562.99 0.5
EURTRY - 417.128 1167.09 1.04
EURUSD - 68.264 682.64 0.61
EURZAR - 2391.96 1846.7 1.65
GBPAUD - 149.672 1111.46 0.86
GBPCAD - 143.864 1066.37 0.83
GBPCHF - 89.084 915.09 0.71
GBPHKD - 697.842 895.45 0.69
GBPJPY - 129.61 1161.8 0.01
GBPNZD - 162.87 1142.21 0.89
GBPPLN - 442.484 1187.62 0.92
GBPSGD - 121.908 879.88 0.68
GBPUSD - 89.846 898.46 0.7
GBPZAR - 2979.98 2300.68 1.78
HKDJPY - 1139.66 102.16 0.8
NZDCAD - 73.693 546.24 0.78
NZDCHF - 55.148 566.49 0.81
NZDHKD - 423.862 543.89 0.78
NZDJPY - 68.159 610.96 0.01
NZDSGD - 63.761 460.2 0.66
NZDUSD - 54.312 543.12 0.77
SGDCHF - 36.501 374.95 0.52
SGDHKD - 205.952 264.27 0.37
SGDJPY - 57.216 512.87 0.01
TRYJPY - 39.096 350.45 0.01
USDCAD - 82.538 611.8 0.61
USDCHF - 59.364 609.8 0.61
USDCNH - 135.98 198.86 0.2
USDCZK - 1910.04 809.46 0.81
USDDKK - 429.292 646.38 0.65
USDHKD - 32.544 41.76 0.04
USDHUF - 211.638 771.53 0.01
USDINR - 28.236 437.43 0
USDJPY - 88.186 790.48 0.01
USDMXN - 2132.74 1151.95 1.15
USDNOK - 706.708 839.85 0.84
USDPLN - 328.608 881.98 0.88
USDSAR - 2.77 7.39 0.01
USDSEK - 667.374 767.77 0.77
USDSGD - 51.354 370.65 0.37
USDTHB - 13.715 402.55 0
USDTRY - 381.69 1067.93 1.07
USDZAR - 2261.08 1745.66 1.75
ZARJPY - 15.621 140.02 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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