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 - 46.312 352.91 0.5
AUDCHF - 45.49 464.66 0.66
AUDHKD - 312.07 399.45 0.57
AUDJPY - 54.986 509.13 0.73
AUDNZD - 40.47 270.62 0.39
AUDSGD - 39.131 288.81 0.41
AUDUSD - 39.852 398.52 0.57
CADCHF - 45 459.65 0.6
CADHKD - 277.492 355.19 0.47
CADJPY - 54.816 507.56 0.67
CADSGD - 40.66 300.1 0.39
CHFHKD - 429.446 549.69 0.54
CHFJPY - 54.294 502.72 0.49
CHFZAR - 1831 1288.34 1.26
EURAUD - 78.308 547.84 0.48
EURCAD - 69.362 528.55 0.47
EURCHF - 46.512 475.1 0.42
EURCZK - 556.96 249.01 0.22
EURDKK - 15.582 23.74 0.02
EURGBP - 44.572 565.93 0.5
EURHKD - 414.614 530.71 0.47
EURHUF - 123.824 434.87 0.38
EURJPY - 66.538 616.09 0.54
EURNOK - 500.094 588.42 0.52
EURNZD - 88.91 594.54 0.52
EURPLN - 101.994 272.01 0.24
EURSEK - 500.18 539.52 0.47
EURSGD - 55.242 407.72 0.36
EURTRY - 945.718 1639.51 1.44
EURUSD - 53.334 533.34 0.47
EURZAR - 1860.76 1309.28 1.15
GBPAUD - 110.688 774.37 0.61
GBPCAD - 104.962 799.83 0.63
GBPCHF - 78.22 798.98 0.63
GBPHKD - 589.778 754.92 0.59
GBPJPY - 92.48 856.3 0.67
GBPNZD - 125.496 839.19 0.66
GBPPLN - 277.386 739.76 0.58
GBPSGD - 89.77 662.56 0.52
GBPUSD - 75.506 755.06 0.59
GBPZAR - 2267.46 1595.44 1.26
HKDJPY - 694.36 64.29 0.5
NZDCAD - 50.628 385.8 0.58
NZDCHF - 42.37 432.79 0.65
NZDHKD - 322.4 412.67 0.62
NZDJPY - 49.364 457.07 0.68
NZDSGD - 44.302 326.98 0.49
NZDUSD - 41.521 415.21 0.62
SGDCHF - 37.156 379.53 0.51
SGDHKD - 175.808 225.03 0.3
SGDJPY - 41.228 381.74 0.52
TRYJPY - 26.819 248.32 1.43
USDCAD - 63.168 481.35 0.48
USDCHF - 54.972 561.51 0.56
USDCNH - 250.112 363.69 0.36
USDCZK - 1215.54 543.46 0.54
USDDKK - 315.386 480.44 0.48
USDHKD - 44.238 56.62 0.06
USDHUF - 192.078 674.57 0.67
USDINR - 36.589 529.35 0.53
USDJPY - 54.726 506.72 0.51
USDMXN - 1759.28 920.05 0.92
USDNOK - 631.682 743.25 0.74
USDPLN - 216.334 576.94 0.58
USDSAR - 2.974 7.93 0.01
USDSEK - 636.774 686.86 0.69
USDSGD - 41.952 309.63 0.31
USDTHB - 14.811 481.03 0.48
USDTRY - 823.334 1427.34 1.43
USDZAR - 1758.56 1237.37 1.24
ZARJPY - 9.909 91.75 1.3

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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