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 - 72.805 535.06 0.77
AUDCHF - 74.136 787.34 1.13
AUDHKD - 680.784 878.33 1.27
AUDJPY - 100.692 938.77 1.35
AUDNZD - 58.848 384.87 0.55
AUDSGD - 88.808 638.63 0.92
AUDUSD - 87.794 877.94 1.27
CADCHF - 57.458 610.22 0.83
CADHKD - 436.48 563.13 0.77
CADJPY - 76.357 711.89 0.97
CADSGD - 57.548 413.84 0.56
CHFHKD - 508.338 655.84 0.62
CHFJPY - 74.884 698.15 0.66
CHFZAR - 2916.06 1730.8 1.63
EURAUD - 160.212 1111.87 0.98
EURCAD - 110.82 814.43 0.72
EURCHF - 51.872 550.89 0.49
EURCZK - 1832.52 779.96 0.69
EURDKK - 40.858 62.28 0.05
EURGBP - 65.625 824.18 0.73
EURHKD - 652.73 842.13 0.74
EURHUF - 251.07 801.47 0.71
EURJPY - 100.432 936.34 0.83
EURNOK - 1299.5 1375.09 1.21
EURNZD - 161.446 1055.86 0.93
EURPLN - 280.832 709.26 0.63
EURSEK - 748.04 813.6 0.72
EURSGD - 81.006 582.53 0.51
EURTRY - 762.334 1111.39 0.98
EURUSD - 84.316 843.16 0.74
EURZAR - 2863.68 1699.72 1.5
GBPAUD - 161.702 1122.21 0.89
GBPCAD - 125.44 921.88 0.73
GBPCHF - 101.574 1078.74 0.86
GBPHKD - 903.294 1165.41 0.93
GBPJPY - 139.648 1301.96 1.04
GBPNZD - 159.906 1045.79 0.83
GBPPLN - 421.574 1064.72 0.85
GBPSGD - 124.326 894.05 0.71
GBPUSD - 116.338 1163.38 0.93
GBPZAR - 3125.74 1855.26 1.48
HKDJPY - 776.54 72.4 0.56
NZDCAD - 65.926 484.5 0.74
NZDCHF - 64.562 685.66 1.05
NZDHKD - 576.776 744.14 1.14
NZDJPY - 86.284 804.44 1.23
NZDSGD - 75.982 546.4 0.84
NZDUSD - 74.413 744.13 1.14
SGDCHF - 38.252 406.24 0.56
SGDHKD - 252.912 326.3 0.45
SGDJPY - 52.384 488.38 0.68
TRYJPY - 14.919 139.09 0.95
USDCAD - 106.218 780.61 0.78
USDCHF - 60.158 638.89 0.64
USDCNH - 281.926 402.56 0.4
USDCZK - 2871.7 1222.26 1.22
USDDKK - 511.596 779.78 0.78
USDHKD - 14.61 18.85 0.02
USDHUF - 357.638 1141.67 1.14
USDINR - 49.084 654.37 0.65
USDJPY - 59.92 558.64 0.56
USDMXN - 4288.86 1884.73 1.88
USDNOK - 1543.102 1632.86 1.63
USDPLN - 428.036 1081.04 1.08
USDSAR - 8.792 23.44 0.02
USDSEK - 1092.966 1188.76 1.19
USDSGD - 64.506 463.87 0.46
USDTHB - 13.8 439.35 0.44
USDTRY - 462.266 673.93 0.67
USDZAR - 2869.26 1703.03 1.7
ZARJPY - 10.723 99.97 1.68

EURUSD

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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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