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 - 57.592 432.89 0.59
AUDCHF - 57.602 578.16 0.78
AUDHKD - 472.944 602.91 0.82
AUDJPY - 72.62 657.73 0.01
AUDNZD - 52.772 361.91 0.49
AUDSGD - 54.992 404.65 0.55
AUDUSD - 60.06 600.6 0.82
CADCHF - 60.48 607.05 0.81
CADHKD - 439.874 560.75 0.75
CADJPY - 72.62 657.73 0.01
CADSGD - 60.036 441.77 0.59
CHFHKD - 478.908 610.51 0.61
CHFJPY - 68.712 622.33 0.01
CHFZAR - 1975.56 1446.7 1.44
EURAUD - 98.698 727.01 0.63
EURCAD - 107.694 809.49 0.7
EURCHF - 62.906 631.4 0.55
EURCZK - 1040.58 466.18 0.4
EURDKK - 26.446 41.07 0.04
EURGBP - 52.206 687.66 0.59
EURHKD - 683.58 871.42 0.75
EURHUF - 152.354 544.65 0
EURJPY - 101.17 916.31 0.01
EURNOK - 552.332 674.95 0.58
EURNZD - 112.236 769.71 0.66
EURPLN - 243.92 654.1 0.57
EURSEK - 736.5 828.9 0.72
EURSGD - 80.264 590.61 0.51
EURTRY - 1040.586 2191.35 1.89
EURUSD - 86.988 869.88 0.75
EURZAR - 2093.62 1533.16 1.32
GBPAUD - 135.166 995.63 0.76
GBPCAD - 130.528 981.12 0.74
GBPCHF - 90.072 904.07 0.69
GBPHKD - 772.54 984.83 0.75
GBPJPY - 120.942 1095.39 0.01
GBPNZD - 151.798 1041.03 0.79
GBPPLN - 439.464 1178.47 0.89
GBPSGD - 108.37 797.42 0.61
GBPUSD - 98.078 980.78 0.74
GBPZAR - 2589.94 1896.61 1.44
HKDJPY - 802 72.64 0.57
NZDCAD - 60.298 453.23 0.66
NZDCHF - 52.5 526.95 0.77
NZDHKD - 428.636 546.42 0.8
NZDJPY - 62.18 563.17 0.01
NZDSGD - 54.8 403.24 0.59
NZDUSD - 54.52 545.2 0.79
SGDCHF - 40.652 408.03 0.55
SGDHKD - 260.798 332.46 0.45
SGDJPY - 48.232 436.84 0.01
TRYJPY - 51.64 467.71 0.02
USDCAD - 92.702 696.8 0.7
USDCHF - 59.678 599 0.6
USDCNH - 243.166 375.28 0.38
USDCZK - 1999.8 895.91 0.9
USDDKK - 456.684 709.28 0.71
USDHKD - 20.556 26.2 0.03
USDHUF - 265.906 950.58 0.01
USDINR - 36.442 535.52 0.01
USDJPY - 62.888 569.59 0.01
USDMXN - 2688.28 1319.5 1.32
USDNOK - 741.258 905.82 0.91
USDPLN - 381.87 1024.03 1.02
USDSAR - 2.572 6.86 0.01
USDSEK - 923.804 1039.7 1.04
USDSGD - 58.794 432.63 0.43
USDTHB - 15.552 473.71 0
USDTRY - 932.652 1964.06 1.96
USDZAR - 1971.24 1443.54 1.44
ZARJPY - 13.61 123.27 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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