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 - 74.538 561.66 0.78
AUDCHF - 68.104 747.25 1.04
AUDHKD - 637.53 822.59 1.14
AUDJPY - 91.42 865.15 1.2
AUDNZD - 54.498 362.36 0.5
AUDSGD - 82.737 603.61 0.84
AUDUSD - 82.27 822.7 1.14
CADCHF - 56.05 614.99 0.82
CADHKD - 393.296 507.46 0.67
CADJPY - 72.001 681.38 0.9
CADSGD - 55.534 405.15 0.54
CHFHKD - 547.76 706.76 0.64
CHFJPY - 76.764 726.45 0.66
CHFZAR - 2777.08 1613.92 1.47
EURAUD - 141.972 1021.35 0.86
EURCAD - 111.284 838.55 0.71
EURCHF - 57.174 627.32 0.53
EURCZK - 1483.04 671.7 0.57
EURDKK - 41.95 66.6 0.06
EURGBP - 62.405 817.88 0.69
EURHKD - 691.776 892.58 0.75
EURHUF - 234.952 802.93 0.68
EURJPY - 99.548 942.06 0.8
EURNOK - 1168.24 1288.08 1.09
EURNZD - 137.698 915.55 0.77
EURPLN - 269.38 724.94 0.61
EURSEK - 671.5 771.48 0.65
EURSGD - 85.464 623.51 0.53
EURTRY - 759.346 1088.68 0.92
EURUSD - 89.106 891.06 0.75
EURZAR - 2655.28 1543.13 1.3
GBPAUD - 157.022 1129.62 0.86
GBPCAD - 126.28 951.55 0.73
GBPCHF - 97.614 1071.03 0.82
GBPHKD - 882.412 1138.55 0.87
GBPJPY - 131.666 1246.01 0.95
GBPNZD - 149.502 994.04 0.76
GBPPLN - 425.69 1145.59 0.87
GBPSGD - 121.4 885.68 0.68
GBPUSD - 113.83 1138.3 0.87
GBPZAR - 3013.48 1751.3 1.33
HKDJPY - 841.88 79.67 0.62
NZDCAD - 62.716 472.58 0.71
NZDCHF - 58.003 636.42 0.96
NZDHKD - 515.102 664.62 1
NZDJPY - 74.981 709.58 1.07
NZDSGD - 66.868 487.84 0.73
NZDUSD - 66.554 665.54 1
SGDCHF - 38.626 423.81 0.58
SGDHKD - 236.54 305.2 0.42
SGDJPY - 50.748 480.25 0.66
TRYJPY - 13.801 130.6 0.91
USDCAD - 92.872 699.81 0.7
USDCHF - 62.816 689.23 0.69
USDCNH - 269.508 387.67 0.39
USDCZK - 2633.76 1192.89 1.19
USDDKK - 519.384 824.62 0.82
USDHKD - 10.83 13.97 0.01
USDHUF - 355.862 1216.12 1.22
USDINR - 45.354 606.9 0.61
USDJPY - 65.292 617.89 0.62
USDMXN - 3653.8 1621.45 1.62
USDNOK - 1398.312 1541.76 1.54
USDPLN - 426.594 1148.02 1.15
USDSAR - 6.788 18.1 0.02
USDSEK - 1039.648 1194.43 1.19
USDSGD - 59.038 430.71 0.43
USDTHB - 16.056 518.1 0.52
USDTRY - 373.326 535.24 0.54
USDZAR - 2672.9 1553.37 1.55
ZARJPY - 10.036 94.97 1.64

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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