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 - 61.714 461.28 0.65
AUDCHF - 54.008 543.45 0.76
AUDHKD - 448.78 571.74 0.8
AUDJPY - 68.724 621.77 0.87
AUDNZD - 51.374 355.1 0.5
AUDSGD - 58.61 433.54 0.61
AUDUSD - 57.236 572.36 0.8
CADCHF - 47.914 482.13 0.65
CADHKD - 339.42 432.42 0.58
CADJPY - 64.232 581.13 0.78
CADSGD - 48.976 362.28 0.48
CHFHKD - 353.494 450.35 0.45
CHFJPY - 55.292 500.24 0.5
CHFZAR - 1764.84 1225.08 1.22
EURAUD - 107.852 770.17 0.68
EURCAD - 86.834 649.03 0.58
EURCHF - 40.926 411.81 0.37
EURCZK - 637.06 279.04 0.25
EURDKK - 17.428 26.34 0.02
EURGBP - 72.364 955.78 0.85
EURHKD - 462.428 589.13 0.52
EURHUF - 128.628 455.34 0.4
EURJPY - 75.49 682.98 0.61
EURNOK - 474.07 555.36 0.49
EURNZD - 114.268 789.82 0.7
EURPLN - 127.438 335.15 0.3
EURSEK - 574.94 622.96 0.55
EURSGD - 58.262 430.96 0.38
EURTRY - 700.974 1291.55 1.14
EURUSD - 59.11 591.1 0.52
EURZAR - 1868.12 1296.77 1.15
GBPAUD - 185.828 1327 1
GBPCAD - 162.412 1213.93 0.92
GBPCHF - 116.652 1173.8 0.89
GBPHKD - 926.2 1179.96 0.89
GBPJPY - 142.026 1284.95 0.97
GBPNZD - 200.328 1384.67 1.05
GBPPLN - 444.618 1169.31 0.89
GBPSGD - 144.008 1065.23 0.81
GBPUSD - 118.268 1182.68 0.9
GBPZAR - 2626.1 1822.93 1.38
HKDJPY - 695.14 62.89 0.49
NZDCAD - 65.58 490.17 0.71
NZDCHF - 49.834 501.45 0.73
NZDHKD - 427.596 544.75 0.79
NZDJPY - 63.01 570.07 0.82
NZDSGD - 58.416 432.1 0.63
NZDUSD - 54.544 545.44 0.79
SGDCHF - 28.82 290 0.39
SGDHKD - 170.996 217.85 0.29
SGDJPY - 40.742 368.61 0.5
TRYJPY - 25.016 226.33 1.24
USDCAD - 76.102 568.82 0.57
USDCHF - 45.228 455.1 0.46
USDCNH - 273.244 406.47 0.41
USDCZK - 1401.96 614.07 0.61
USDDKK - 341.082 515.46 0.52
USDHKD - 20.01 25.49 0.03
USDHUF - 211.868 750 0.75
USDINR - 44.318 641.27 0.64
USDJPY - 54.836 496.12 0.5
USDMXN - 1601.6 838.67 0.84
USDNOK - 627.886 735.55 0.74
USDPLN - 244.28 642.44 0.64
USDSAR - 2.124 5.66 0.01
USDSEK - 710.084 769.39 0.77
USDSGD - 39.984 295.76 0.3
USDTHB - 15.392 486.63 0.49
USDTRY - 622.07 1146.17 1.15
USDZAR - 1823.02 1265.47 1.26
ZARJPY - 10.492 94.92 1.37

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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