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 - 59.597 469.27 0.62
AUDCHF - 56.788 578.52 0.76
AUDHKD - 437.464 560.23 0.74
AUDJPY - 65.308 586.77 0.01
AUDNZD - 72.878 501.47 0.66
AUDSGD - 58.714 435.69 0.57
AUDUSD - 56.437 564.37 0.74
CADCHF - 57.333 584.08 0.74
CADHKD - 413.35 529.35 0.67
CADJPY - 67.588 607.26 0.01
CADSGD - 60.458 448.63 0.57
CHFHKD - 520.494 666.57 0.65
CHFJPY - 62.656 562.95 0.01
CHFZAR - 1767.68 1276.82 1.25
EURAUD - 107.718 820.7 0.69
EURCAD - 100.638 792.43 0.67
EURCHF - 56.988 580.56 0.49
EURCZK - 816.34 379.21 0.32
EURDKK - 17.068 27.14 0.02
EURGBP - 66.191 882.13 0.75
EURHKD - 564.492 722.91 0.61
EURHUF - 123.96 468 0
EURJPY - 88.38 794.07 0.01
EURNOK - 579.376 710.97 0.6
EURNZD - 149.226 1026.82 0.87
EURPLN - 183.81 516.04 0.44
EURSEK - 498.912 599.09 0.51
EURSGD - 75.34 559.07 0.47
EURTRY - 493.8 1255.5 1.06
EURUSD - 71.946 719.46 0.61
EURZAR - 1967.4 1421.08 1.2
GBPAUD - 149.69 1140.49 0.86
GBPCAD - 143.92 1133.23 0.85
GBPCHF - 104.648 1066.1 0.8
GBPHKD - 844.6 1081.63 0.81
GBPJPY - 133.064 1195.54 0.01
GBPNZD - 178.392 1227.52 0.92
GBPPLN - 397.338 1115.52 0.84
GBPSGD - 126.812 941.02 0.71
GBPUSD - 107.738 1077.38 0.81
GBPZAR - 2432.04 1756.7 1.32
HKDJPY - 963.04 86.53 0.68
NZDCAD - 76.462 602.06 0.87
NZDCHF - 60.665 618.02 0.9
NZDHKD - 497.394 636.98 0.93
NZDJPY - 68.872 618.8 0.01
NZDSGD - 73.784 547.52 0.8
NZDUSD - 63.601 636.01 0.92
SGDCHF - 38.247 389.64 0.53
SGDHKD - 221.23 283.32 0.38
SGDJPY - 44.61 400.81 0.01
TRYJPY - 34.713 311.89 0.01
USDCAD - 83.538 657.78 0.66
USDCHF - 63.968 651.67 0.65
USDCNH - 272.396 413.48 0.41
USDCZK - 1514.94 703.73 0.7
USDDKK - 385.136 612.39 0.61
USDHKD - 50.956 65.26 0.07
USDHUF - 205.85 777.17 0.01
USDINR - 31.386 484.28 0
USDJPY - 74.914 673.08 0.01
USDMXN - 1920.06 1029.9 1.03
USDNOK - 642.49 788.42 0.79
USDPLN - 284.448 798.59 0.8
USDSAR - 2.442 6.51 0.01
USDSEK - 639.144 767.47 0.77
USDSGD - 51.012 378.54 0.38
USDTHB - 8.907 272.14 0
USDTRY - 441.572 1122.71 1.12
USDZAR - 1758.06 1269.87 1.27
ZARJPY - 9.889 88.85 0.01

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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