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 - 65.158 486.8 0.68
AUDCHF - 55.694 558 0.78
AUDHKD - 468.09 599.09 0.83
AUDJPY - 77.372 682.35 0.95
AUDNZD - 55.442 376.78 0.53
AUDSGD - 61.214 444.71 0.62
AUDUSD - 60.128 601.28 0.84
CADCHF - 51.192 512.89 0.69
CADHKD - 365.544 467.85 0.63
CADJPY - 70.092 618.15 0.83
CADSGD - 54.532 396.16 0.53
CHFHKD - 432.674 553.77 0.55
CHFJPY - 65.83 580.56 0.58
CHFZAR - 2480.86 1722.86 1.72
EURAUD - 106.994 767.79 0.68
EURCAD - 99.266 741.62 0.66
EURCHF - 50.38 504.76 0.45
EURCZK - 696.78 305.4 0.27
EURDKK - 16.12 24.41 0.02
EURGBP - 58.07 730.99 0.65
EURHKD - 612.986 784.54 0.69
EURHUF - 117.506 410.46 0.36
EURJPY - 94.008 829.07 0.73
EURNOK - 481.752 559.1 0.49
EURNZD - 128.97 876.48 0.78
EURPLN - 161.098 424.24 0.38
EURSEK - 585.06 645.63 0.57
EURSGD - 76.028 552.33 0.49
EURTRY - 1224.372 2282.53 2.02
EURUSD - 78.704 787.04 0.7
EURZAR - 2569.6 1784.48 1.58
GBPAUD - 171.646 1231.73 0.98
GBPCAD - 156.852 1171.85 0.93
GBPCHF - 99.922 1001.12 0.8
GBPHKD - 944.138 1208.37 0.96
GBPJPY - 140.748 1241.27 0.99
GBPNZD - 194.844 1324.16 1.05
GBPPLN - 370.84 976.59 0.78
GBPSGD - 138.644 1007.22 0.8
GBPUSD - 120.558 1205.58 0.96
GBPZAR - 3083.94 2141.67 1.7
HKDJPY - 797.54 70.34 0.55
NZDCAD - 71.154 531.6 0.78
NZDCHF - 55.962 560.69 0.83
NZDHKD - 469.802 601.28 0.88
NZDJPY - 76.17 671.75 0.99
NZDSGD - 66.37 482.16 0.71
NZDUSD - 60.5 605 0.89
SGDCHF - 32.474 325.36 0.45
SGDHKD - 200.462 256.57 0.35
SGDJPY - 49.016 432.28 0.6
TRYJPY - 42.544 375.2 2.01
USDCAD - 80.888 604.32 0.6
USDCHF - 54.786 548.9 0.55
USDCNH - 303.428 439.66 0.44
USDCZK - 1730.2 758.35 0.76
USDDKK - 449.974 681.4 0.68
USDHKD - 67.298 86.13 0.09
USDHUF - 250.25 874.14 0.87
USDINR - 53.456 744.1 0.74
USDJPY - 62.93 554.99 0.55
USDMXN - 2678.12 1323.28 1.32
USDNOK - 696.878 808.76 0.81
USDPLN - 321.438 846.49 0.85
USDSAR - 5.028 13.4 0.01
USDSEK - 775.126 855.38 0.86
USDSGD - 49.602 360.35 0.36
USDTHB - 17.174 523.12 0.52
USDTRY - 1114.56 2077.81 2.08
USDZAR - 2546.92 1768.73 1.77
ZARJPY - 14.962 131.95 1.9

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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