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 - 54.875 414.03 0.61
AUDCHF - 56.054 564.49 0.83
AUDHKD - 347.118 443.19 0.65
AUDJPY - 67.432 624.14 0.92
AUDNZD - 52.786 332.82 0.49
AUDSGD - 46.35 336.19 0.49
AUDUSD - 44.49 444.9 0.65
CADCHF - 53.184 535.59 0.71
CADHKD - 299.814 382.8 0.51
CADJPY - 66.088 611.7 0.81
CADSGD - 48.27 350.11 0.46
CHFHKD - 507.654 648.16 0.64
CHFJPY - 60.91 563.77 0.56
CHFZAR - 2224.14 1513.32 1.5
EURAUD - 116.9 794.69 0.72
EURCAD - 89.89 678.21 0.61
EURCHF - 52.818 531.9 0.48
EURCZK - 666 284.18 0.26
EURDKK - 23.248 34.4 0.03
EURGBP - 68.952 860.45 0.78
EURHKD - 473.328 604.34 0.55
EURHUF - 133.496 443.29 0.4
EURJPY - 81.72 756.39 0.68
EURNOK - 649.71 723.52 0.66
EURNZD - 119.886 755.88 0.68
EURPLN - 176.982 450.36 0.41
EURSEK - 612.54 631.19 0.57
EURSGD - 79.2 574.45 0.52
EURTRY - 771.272 1351.99 1.22
EURUSD - 58.716 587.16 0.53
EURZAR - 2303.4 1567.25 1.42
GBPAUD - 160.938 1094.06 0.88
GBPCAD - 137.358 1036.35 0.83
GBPCHF - 104.792 1055.31 0.85
GBPHKD - 767.094 979.41 0.78
GBPJPY - 127.842 1183.28 0.95
GBPNZD - 176.266 1111.36 0.89
GBPPLN - 387.202 985.3 0.79
GBPSGD - 128.366 931.07 0.75
GBPUSD - 97.052 970.52 0.78
GBPZAR - 2659.78 1809.73 1.45
HKDJPY - 920 85.15 0.67
NZDCAD - 56.721 427.95 0.68
NZDCHF - 51.816 521.81 0.83
NZDHKD - 364.422 465.29 0.74
NZDJPY - 61.944 573.34 0.91
NZDSGD - 54.136 392.66 0.62
NZDUSD - 46.052 460.52 0.73
SGDCHF - 46.863 471.93 0.65
SGDHKD - 183.242 233.96 0.32
SGDJPY - 56.432 522.33 0.72
TRYJPY - 26.036 240.98 1.38
USDCAD - 65.262 492.39 0.49
USDCHF - 61.218 616.5 0.62
USDCNH - 325.526 458.62 0.46
USDCZK - 1276.82 544.82 0.54
USDDKK - 353.824 523.57 0.52
USDHKD - 74.676 95.34 0.1
USDHUF - 193.146 641.36 0.64
USDINR - 47.194 662.46 0.66
USDJPY - 69.796 646.02 0.65
USDMXN - 1769.3 911.69 0.91
USDNOK - 654.78 729.17 0.73
USDPLN - 254.834 648.47 0.65
USDSAR - 5.16 13.76 0.01
USDSEK - 698.738 720.01 0.72
USDSGD - 44.142 320.17 0.32
USDTHB - 11.59 379.5 0.38
USDTRY - 636.354 1115.49 1.12
USDZAR - 1960.32 1333.81 1.33
ZARJPY - 11.227 103.92 1.53

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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