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 - 61.079 456.9 0.64
AUDCHF - 53.856 542.52 0.76
AUDHKD - 443.914 565.75 0.8
AUDJPY - 66.712 602.58 0.85
AUDNZD - 50.46 347.47 0.49
AUDSGD - 57.754 428.09 0.6
AUDUSD - 56.665 566.65 0.8
CADCHF - 47.872 482.24 0.64
CADHKD - 335.992 428.21 0.57
CADJPY - 62 560.02 0.75
CADSGD - 48.298 358 0.48
CHFHKD - 357.454 455.56 0.45
CHFJPY - 54.6 493.18 0.49
CHFZAR - 1701.66 1197.06 1.19
EURAUD - 105.892 752.47 0.66
EURCAD - 86.154 644.48 0.57
EURCHF - 39.494 397.84 0.35
EURCZK - 608.42 269.49 0.24
EURDKK - 16.73 25.49 0.02
EURGBP - 71.258 935.4 0.82
EURHKD - 452.964 577.28 0.51
EURHUF - 119.588 432.18 0.38
EURJPY - 72.318 653.22 0.57
EURNOK - 466.094 551.27 0.48
EURNZD - 111.686 769.07 0.68
EURPLN - 122.332 324.58 0.29
EURSEK - 557.12 607.07 0.53
EURSGD - 57.41 425.54 0.37
EURTRY - 591.03 1079.41 0.95
EURUSD - 58.004 580.04 0.51
EURZAR - 1819.54 1279.99 1.13
GBPAUD - 184.488 1310.97 1
GBPCAD - 160.472 1200.42 0.91
GBPCHF - 115.972 1168.25 0.89
GBPHKD - 932.162 1188 0.9
GBPJPY - 143.914 1299.92 0.99
GBPNZD - 199.998 1377.19 1.05
GBPPLN - 430.742 1142.89 0.87
GBPSGD - 144.088 1068.03 0.81
GBPUSD - 119.056 1190.56 0.91
GBPZAR - 2509.04 1765.03 1.34
HKDJPY - 668.38 60.37 0.47
NZDCAD - 64.51 482.57 0.7
NZDCHF - 49.784 501.5 0.73
NZDHKD - 425.176 541.87 0.79
NZDJPY - 61.534 555.81 0.81
NZDSGD - 57.638 427.23 0.62
NZDUSD - 54.252 542.52 0.79
SGDCHF - 29.23 294.45 0.4
SGDHKD - 170.084 216.76 0.29
SGDJPY - 39.166 353.77 0.48
TRYJPY - 20.959 189.31 1.04
USDCAD - 75.208 562.6 0.56
USDCHF - 45.624 459.6 0.46
USDCNH - 277.922 414.57 0.41
USDCZK - 1359.92 602.35 0.6
USDDKK - 334.226 509.25 0.51
USDHKD - 20.108 25.63 0.03
USDHUF - 201.236 727.25 0.73
USDINR - 43.488 633.57 0.63
USDJPY - 52.58 474.93 0.47
USDMXN - 1553.86 823.56 0.82
USDNOK - 603.356 713.62 0.71
USDPLN - 237.36 629.79 0.63
USDSAR - 2.268 6.05 0.01
USDSEK - 682.874 744.1 0.74
USDSGD - 39.88 295.6 0.3
USDTHB - 14.934 470.81 0.47
USDTRY - 507.194 926.3 0.93
USDZAR - 1733.18 1219.24 1.22
ZARJPY - 9.972 90.07 1.28

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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