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 - 61.434 469.97 0.65
AUDCHF - 54.416 546.4 0.76
AUDHKD - 481.142 612.92 0.85
AUDJPY - 75.868 682.08 0.94
AUDNZD - 56.206 368.54 0.51
AUDSGD - 55.088 399.45 0.55
AUDUSD - 61.522 615.22 0.85
CADCHF - 49.686 498.91 0.65
CADHKD - 380.912 485.24 0.63
CADJPY - 64.204 577.22 0.75
CADSGD - 53.192 385.7 0.5
CHFHKD - 444.998 566.88 0.56
CHFJPY - 63.82 573.77 0.57
CHFZAR - 2404.6 1687.49 1.68
EURAUD - 97.086 702.13 0.62
EURCAD - 98.234 751.48 0.66
EURCHF - 51.48 516.92 0.46
EURCZK - 1123.76 496.37 0.44
EURDKK - 28.014 42.63 0.04
EURGBP - 44.788 569.79 0.5
EURHKD - 638.006 812.75 0.72
EURHUF - 207.304 729.71 0.64
EURJPY - 95.154 855.47 0.75
EURNOK - 465.228 552.94 0.49
EURNZD - 106.934 701.17 0.62
EURPLN - 242.824 641.1 0.57
EURSEK - 629.32 688.25 0.61
EURSGD - 75.826 549.82 0.48
EURTRY - 1709.546 2759.11 2.43
EURUSD - 81.538 815.38 0.72
EURZAR - 2590.22 1817.75 1.6
GBPAUD - 128.014 925.8 0.73
GBPCAD - 118.894 909.53 0.71
GBPCHF - 76.56 768.75 0.6
GBPHKD - 750.032 955.45 0.75
GBPJPY - 109 979.95 0.77
GBPNZD - 131.58 862.77 0.68
GBPPLN - 369.812 976.38 0.77
GBPSGD - 101.266 734.29 0.58
GBPUSD - 95.932 959.32 0.75
GBPZAR - 2931.9 2057.53 1.62
HKDJPY - 835.2 75.09 0.59
NZDCAD - 59.68 456.55 0.7
NZDCHF - 45.68 458.68 0.7
NZDHKD - 418.686 533.36 0.81
NZDJPY - 61.316 551.25 0.84
NZDSGD - 50.758 368.05 0.56
NZDUSD - 53.46 534.6 0.82
SGDCHF - 34.674 348.17 0.48
SGDHKD - 258.234 328.96 0.45
SGDJPY - 51.908 466.67 0.64
TRYJPY - 61.401 552.02 3.42
USDCAD - 83.79 640.99 0.64
USDCHF - 56.05 562.81 0.56
USDCNH - 467.092 675.61 0.68
USDCZK - 1957.52 864.65 0.86
USDDKK - 452.404 688.48 0.69
USDHKD - 18.36 23.39 0.02
USDHUF - 302.076 1063.31 1.06
USDINR - 39.318 559.53 0.56
USDJPY - 65.556 589.37 0.59
USDMXN - 2716.08 1437.6 1.44
USDNOK - 667.624 793.5 0.79
USDPLN - 369.966 976.78 0.98
USDSAR - 3.38 9.01 0.01
USDSEK - 828.73 906.33 0.91
USDSGD - 61.136 443.3 0.44
USDTHB - 18.07 542.32 0.54
USDTRY - 1537.102 2480.8 2.48
USDZAR - 2510.48 1761.79 1.76
ZARJPY - 15.37 138.18 1.97

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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