Forex Volatility

The following table represent the currency's daily variation measured in Pip, in $ and in % with a size of contract at 00'000. 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 - 88.921 708.87 0.93
AUDCHF - 92.79 966.56 1.27
AUDHKD - 726.056 935.71 1.23
AUDJPY - 133.515 1243.97 0.02
AUDNZD - 93.802 653.99 0.86
AUDSGD - 95.97 714.22 0.94
AUDUSD - 94.265 942.65 1.24
CADCHF - 85.373 889.3 1.12
CADHKD - 609.198 785.11 0.98
CADJPY - 130.805 1218.72 0.02
CADSGD - 90.542 673.83 0.85
CHFHKD - 649.734 837.35 0.8
CHFJPY - 116.37 1084.23 0.01
CHFZAR - 3243.2 2283.51 2.19
EURAUD - 177.596 1352.04 1.18
EURCAD - 163.88 1306.44 1.14
EURCHF - 48.452 504.71 0.44
EURCZK - 226.82 96 0.08
EURDKK - 44.532 68.47 0.06
EURGBP - 67.248 983.77 0.86
EURHKD - 726.164 935.85 0.82
EURHUF - 164.696 602.88 0.01
EURJPY - 129.668 1208.12 0.01
EURNOK - 813.67 1009.85 0.88
EURNZD - 194.06 1352.99 1.18
EURPLN - 294.026 766.23 0.67
EURSEK - 516.22 644.47 0.56
EURSGD - 114.716 853.73 0.75
EURTRY - 332.568 1187.91 1.04
EURUSD - 94.46 944.6 0.83
EURZAR - 3497.44 2462.52 2.15
GBPAUD - 208.83 1589.82 1.09
GBPCAD - 191.76 1528.7 1.05
GBPCHF - 128.482 1338.35 0.91
GBPHKD - 1085 1398.3 0.96
GBPJPY - 211.086 1966.7 0.01
GBPNZD - 245.078 1708.68 1.17
GBPPLN - 535.948 1396.68 0.95
GBPSGD - 167.49 1246.48 0.85
GBPUSD - 140.874 1408.74 0.96
GBPZAR - 4022.12 2831.94 1.94
HKDJPY - 1507.78 140.48 1.09
NZDCAD - 93.319 743.93 1.07
NZDCHF - 83.157 866.22 1.24
NZDHKD - 685.248 883.12 1.27
NZDJPY - 117.935 1098.81 0.02
NZDSGD - 89.992 669.73 0.96
NZDUSD - 89.137 891.37 1.28
SGDCHF - 57.597 599.97 0.81
SGDHKD - 388.918 501.22 0.67
SGDJPY - 93.791 873.86 0.01
TRYJPY - 53.2 495.67 0.01
USDCAD - 136.08 1084.82 1.08
USDCHF - 80.392 837.42 0.84
USDCNH - 191.362 295.08 0.3
USDCZK - 2024.26 856.74 0.86
USDDKK - 560.744 862.15 0.86
USDHKD - 44.618 57.5 0.06
USDHUF - 278.736 1020.34 0.01
USDINR - 35.994 541.83 0.01
USDJPY - 116.73 1087.58 0.01
USDMXN - 2270.4 1325.23 1.33
USDNOK - 953.688 1183.63 1.18
USDPLN - 392.504 1022.87 1.02
USDSAR - 7.098 18.93 0.02
USDSEK - 739.414 923.11 0.92
USDSGD - 95.278 709.07 0.71
USDTHB - 13.682 391.92 0
USDTRY - 270.078 964.7 0.96
USDZAR - 3110.62 2190.16 2.19
ZARJPY - 17.552 163.53 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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