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 - 57.756 433.38 0.59
AUDCHF - 57.968 580.61 0.79
AUDHKD - 476.362 607.15 0.83
AUDJPY - 73.264 662 0.01
AUDNZD - 53.442 364.96 0.5
AUDSGD - 55.354 405.94 0.55
AUDUSD - 60.522 605.22 0.82
CADCHF - 60.704 608.01 0.81
CADHKD - 442.124 563.51 0.75
CADJPY - 72.994 659.56 0.01
CADSGD - 60.394 442.9 0.59
CHFHKD - 481.726 613.98 0.61
CHFJPY - 69.028 623.73 0.01
CHFZAR - 1994.38 1451.27 1.45
EURAUD - 99.244 729.15 0.63
EURCAD - 108 810.38 0.7
EURCHF - 63.112 632.13 0.55
EURCZK - 1041.38 465.33 0.4
EURDKK - 26.726 41.4 0.04
EURGBP - 52.342 687.56 0.6
EURHKD - 687.622 876.41 0.76
EURHUF - 153.106 544.9 0
EURJPY - 101.604 918.08 0.01
EURNOK - 554.34 676.51 0.59
EURNZD - 112.95 771.34 0.67
EURPLN - 244.716 653.94 0.57
EURSEK - 738.24 828.54 0.72
EURSGD - 80.71 591.89 0.51
EURTRY - 1042.65 2187.91 1.89
EURUSD - 87.57 875.7 0.76
EURZAR - 2113.02 1537.6 1.33
GBPAUD - 135.706 997.03 0.76
GBPCAD - 130.976 982.79 0.75
GBPCHF - 90.462 906.07 0.69
GBPHKD - 778.2 991.86 0.76
GBPJPY - 121.428 1097.21 0.01
GBPNZD - 152.588 1042.02 0.79
GBPPLN - 440.318 1176.63 0.9
GBPSGD - 108.912 798.71 0.61
GBPUSD - 98.838 988.38 0.75
GBPZAR - 2610.66 1899.73 1.45
HKDJPY - 809.92 73.18 0.57
NZDCAD - 60.742 455.78 0.67
NZDCHF - 52.832 529.17 0.77
NZDHKD - 432.464 551.2 0.81
NZDJPY - 62.61 565.74 0.01
NZDSGD - 55.084 403.96 0.59
NZDUSD - 55.028 550.28 0.81
SGDCHF - 40.932 409.98 0.56
SGDHKD - 264.476 337.09 0.46
SGDJPY - 48.642 439.52 0.01
TRYJPY - 51.784 467.91 0.02
USDCAD - 93.182 699.2 0.7
USDCHF - 60.084 601.8 0.6
USDCNH - 250.402 384.4 0.38
USDCZK - 2010.74 898.49 0.9
USDDKK - 459.958 712.51 0.71
USDHKD - 20.934 26.68 0.03
USDHUF - 268.218 954.58 0.01
USDINR - 36.392 533.45 0.01
USDJPY - 63.54 574.14 0.01
USDMXN - 2702.14 1323.29 1.32
USDNOK - 744.942 909.12 0.91
USDPLN - 384.43 1027.28 1.03
USDSAR - 2.616 6.98 0.01
USDSEK - 929.18 1042.84 1.04
USDSGD - 59.71 437.89 0.44
USDTHB - 15.86 481.19 0
USDTRY - 936.51 1965.19 1.97
USDZAR - 1993.78 1450.83 1.45
ZARJPY - 13.723 124 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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