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 - 67.746 508.15 0.71
AUDCHF - 65.748 661.25 0.92
AUDHKD - 472.704 602.55 0.84
AUDJPY - 90.196 823.63 1.15
AUDNZD - 62.554 425.43 0.59
AUDSGD - 67.884 500.21 0.7
AUDUSD - 60.768 607.68 0.85
CADCHF - 58.982 593.2 0.79
CADHKD - 341.772 435.65 0.58
CADJPY - 79.508 726.03 0.97
CADSGD - 53.34 393.04 0.52
CHFHKD - 478.712 610.21 0.61
CHFJPY - 77.132 704.34 0.7
CHFZAR - 2155.18 1561.24 1.55
EURAUD - 124.254 890.03 0.78
EURCAD - 104.218 781.71 0.69
EURCHF - 47.082 473.52 0.42
EURCZK - 690.34 305.95 0.27
EURDKK - 17.024 25.97 0.02
EURGBP - 63.152 826.15 0.73
EURHKD - 569.076 725.39 0.64
EURHUF - 117.972 422.51 0.37
EURJPY - 94.67 864.49 0.76
EURNOK - 574.99 671.91 0.59
EURNZD - 131.264 892.73 0.78
EURPLN - 139.198 369.56 0.32
EURSEK - 566.88 629.12 0.55
EURSGD - 77.338 569.88 0.5
EURTRY - 999.506 1888.1 1.66
EURUSD - 73.008 730.08 0.64
EURZAR - 2170.76 1572.52 1.38
GBPAUD - 207.716 1487.87 1.14
GBPCAD - 157.572 1181.91 0.9
GBPCHF - 101.834 1024.18 0.78
GBPHKD - 873.136 1112.97 0.85
GBPJPY - 145.134 1325.3 1.01
GBPNZD - 180.5 1227.58 0.94
GBPPLN - 365.618 970.68 0.74
GBPSGD - 133.84 986.22 0.75
GBPUSD - 111.664 1116.64 0.85
GBPZAR - 2510.2 1818.42 1.39
HKDJPY - 942.44 86.06 0.68
NZDCAD - 68.818 516.19 0.76
NZDCHF - 57.518 578.48 0.85
NZDHKD - 431.268 549.73 0.81
NZDJPY - 76.104 694.95 1.02
NZDSGD - 64.692 476.69 0.7
NZDUSD - 55.538 555.38 0.82
SGDCHF - 37.544 377.59 0.51
SGDHKD - 173.004 220.52 0.3
SGDJPY - 54.336 496.17 0.67
TRYJPY - 38.872 354.96 1.88
USDCAD - 78.002 585.07 0.59
USDCHF - 59.66 600.02 0.6
USDCNH - 273.832 403.7 0.4
USDCZK - 1613.86 715.25 0.72
USDDKK - 416.608 635.45 0.64
USDHKD - 58.186 74.17 0.07
USDHUF - 238.46 854.02 0.85
USDINR - 52.6 740.53 0.74
USDJPY - 74.444 679.79 0.68
USDMXN - 2025.04 1064.11 1.06
USDNOK - 724.226 846.31 0.85
USDPLN - 277.26 736.1 0.74
USDSAR - 6.056 16.15 0.02
USDSEK - 733.324 813.84 0.81
USDSGD - 41.644 306.86 0.31
USDTHB - 13.815 436.36 0.44
USDTRY - 899.506 1699.2 1.7
USDZAR - 2110.08 1528.57 1.53
ZARJPY - 13.178 120.34 1.66

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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