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 - 83.435 645.93 0.85
AUDCHF - 76.912 796.03 1.04
AUDHKD - 635.234 819.18 1.07
AUDJPY - 127.896 1273.48 0.02
AUDNZD - 83.612 612.04 0.8
AUDSGD - 83.248 615.38 0.81
AUDUSD - 82.103 821.03 1.08
CADCHF - 62.976 651.79 0.84
CADHKD - 510.608 658.47 0.85
CADJPY - 122.361 1218.37 0.02
CADSGD - 72.696 537.37 0.69
CHFHKD - 589.04 759.61 0.73
CHFJPY - 145.76 1451.36 0.01
CHFZAR - 2596.78 1839.6 1.78
EURAUD - 133.76 1020.32 0.9
EURCAD - 113.776 880.82 0.78
EURCHF - 56.144 581.08 0.52
EURCZK - 269.24 112.34 0.1
EURDKK - 40.004 60.6 0.05
EURGBP - 106.808 1413.28 1.25
EURHKD - 665.974 858.82 0.76
EURHUF - 149.416 544.18 0
EURJPY - 163.894 1631.92 0.01
EURNOK - 724.944 883.61 0.78
EURNZD - 162.48 1189.35 1.05
EURPLN - 305.388 798.59 0.71
EURSEK - 510.518 608.63 0.54
EURSGD - 90.582 669.59 0.59
EURTRY - 362.774 1232.16 1.09
EURUSD - 85.908 859.08 0.76
EURZAR - 2640.2 1870.36 1.66
GBPAUD - 253.24 1931.71 1.46
GBPCAD - 245.74 1902.45 1.44
GBPCHF - 190.292 1969.49 1.49
GBPHKD - 1585.482 2044.6 1.55
GBPJPY - 303.314 3020.15 0.02
GBPNZD - 293.166 2145.98 1.62
GBPPLN - 713.254 1865.16 1.41
GBPSGD - 245.62 1815.64 1.37
GBPUSD - 204.552 2045.52 1.55
GBPZAR - 3663.72 2595.44 1.96
HKDJPY - 1765.76 175.82 1.36
NZDCAD - 100.26 776.19 1.06
NZDCHF - 79.045 818.1 1.12
NZDHKD - 681.176 878.43 1.2
NZDJPY - 121.486 1209.66 0.02
NZDSGD - 95.307 704.52 0.96
NZDUSD - 88.01 880.1 1.2
SGDCHF - 48.734 504.39 0.68
SGDHKD - 311.996 402.34 0.54
SGDJPY - 104.376 1039.29 0.01
TRYJPY - 65.826 655.44 0.02
USDCAD - 111.458 862.88 0.86
USDCHF - 72.106 746.28 0.75
USDCNH - 198.898 298.25 0.3
USDCZK - 1872.24 781.21 0.78
USDDKK - 513.096 777.25 0.78
USDHKD - 22.726 29.31 0.03
USDHUF - 262.312 955.36 0.01
USDINR - 27.058 403.31 0
USDJPY - 136.982 1363.95 0.01
USDMXN - 2599 1408.84 1.41
USDNOK - 947.214 1154.53 1.15
USDPLN - 413.098 1080.25 1.08
USDSAR - 6.048 16.13 0.02
USDSEK - 828.73 987.99 0.99
USDSGD - 73.532 543.55 0.54
USDTHB - 12.766 369.07 0
USDTRY - 341.812 1160.97 1.16
USDZAR - 2627.44 1861.32 1.86
ZARJPY - 16.933 168.6 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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