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 - 72.14 540.42 0.76
AUDCHF - 64.378 702.97 0.98
AUDHKD - 613.714 791.88 1.11
AUDJPY - 85.51 805.25 1.13
AUDNZD - 52.966 349.79 0.49
AUDSGD - 78.916 574.44 0.8
AUDUSD - 79.188 791.88 1.11
CADCHF - 53.582 585.08 0.78
CADHKD - 378.57 488.47 0.65
CADJPY - 67.948 639.87 0.85
CADSGD - 52.926 385.25 0.51
CHFHKD - 556.956 718.64 0.66
CHFJPY - 74.536 701.91 0.64
CHFZAR - 2748.9 1550.48 1.42
EURAUD - 131.648 942.34 0.8
EURCAD - 108.044 809.38 0.69
EURCHF - 56.876 621.05 0.53
EURCZK - 1426.7 638.37 0.54
EURDKK - 42.2 66.48 0.06
EURGBP - 61.025 797.11 0.68
EURHKD - 705.7 910.57 0.78
EURHUF - 232.062 788.79 0.67
EURJPY - 96.746 911.07 0.78
EURNOK - 1165.34 1289.54 1.1
EURNZD - 131.674 869.58 0.74
EURPLN - 257.536 686.32 0.58
EURSEK - 647.08 737.91 0.63
EURSGD - 87.906 639.87 0.55
EURTRY - 925.26 1262.76 1.08
EURUSD - 90.892 908.92 0.78
EURZAR - 2623.3 1479.64 1.26
GBPAUD - 150.33 1076.06 0.82
GBPCAD - 123.424 924.59 0.71
GBPCHF - 94.688 1033.94 0.79
GBPHKD - 867.214 1118.97 0.86
GBPJPY - 123.67 1164.61 0.89
GBPNZD - 147.332 972.98 0.74
GBPPLN - 412.876 1100.3 0.84
GBPSGD - 118.142 859.97 0.66
GBPUSD - 111.874 1118.74 0.86
GBPZAR - 2985.94 1684.18 1.29
HKDJPY - 816.84 76.92 0.6
NZDCAD - 62.42 467.6 0.71
NZDCHF - 55.54 606.46 0.92
NZDHKD - 499.672 644.73 0.98
NZDJPY - 71.276 671.21 1.02
NZDSGD - 64.668 470.72 0.71
NZDUSD - 64.534 645.34 0.98
SGDCHF - 38.206 417.19 0.57
SGDHKD - 227.662 293.75 0.4
SGDJPY - 47.688 449.08 0.62
TRYJPY - 15.896 149.69 1.1
USDCAD - 89.008 666.78 0.67
USDCHF - 63.224 690.37 0.69
USDCNH - 263.564 378.95 0.38
USDCZK - 2576.98 1153.06 1.15
USDDKK - 522.668 823.4 0.82
USDHKD - 9.17 11.83 0.01
USDHUF - 351.56 1194.97 1.19
USDINR - 43.614 583.62 0.58
USDJPY - 63.398 597.02 0.6
USDMXN - 3572.9 1587.72 1.59
USDNOK - 1389.012 1537.04 1.54
USDPLN - 420.132 1119.64 1.12
USDSAR - 5.512 14.7 0.01
USDSEK - 1021.118 1164.45 1.16
USDSGD - 56.512 411.36 0.41
USDTHB - 16.157 518.85 0.52
USDTRY - 498.998 681.01 0.68
USDZAR - 2653.14 1496.47 1.5
ZARJPY - 9.81 92.38 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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