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 - 123.598 874.53 1.44
AUDCHF - 104.785 1075.82 1.77
AUDHKD - 839.36 1082.84 1.79
AUDJPY - 138.24 1280.59 2.11
AUDNZD - 75.428 446.23 0.74
AUDSGD - 131.106 916.18 1.51
AUDUSD - 108.99 1089.9 1.8
CADCHF - 79.07 811.81 1.15
CADHKD - 515.202 664.65 0.94
CADJPY - 113.932 1055.41 1.49
CADSGD - 86.044 601.29 0.85
CHFHKD - 733.668 946.49 0.92
CHFJPY - 104.908 971.82 0.95
CHFZAR - 3600.28 1946.9 1.9
EURAUD - 291.01 1764.39 1.62
EURCAD - 162.134 1147.2 1.06
EURCHF - 47.268 485.3 0.45
EURCZK - 2665.18 1049.97 0.97
EURDKK - 32.586 47.38 0.04
EURGBP - 110.57 1370.63 1.26
EURHKD - 820.146 1058.05 0.97
EURHUF - 334.216 998.17 0.92
EURJPY - 126.848 1175.06 1.08
EURNOK - 2358.612 2267.96 2.09
EURNZD - 275.238 1628.31 1.5
EURPLN - 357.912 850.29 0.78
EURSEK - 1138 1125.05 1.04
EURSGD - 135.664 948.04 0.87
EURTRY - 902.012 1359.68 1.25
EURUSD - 105.578 1055.78 0.97
EURZAR - 3636.66 1966.57 1.81
GBPAUD - 295.752 1793.14 1.45
GBPCAD - 225.664 1596.72 1.29
GBPCHF - 153.136 1572.24 1.27
GBPHKD - 1308.818 1688.47 1.36
GBPJPY - 195.102 1807.34 1.46
GBPNZD - 315.472 1866.33 1.51
GBPPLN - 666.528 1583.47 1.28
GBPSGD - 219.624 1534.76 1.24
GBPUSD - 169.386 1693.86 1.37
GBPZAR - 4296.66 2323.47 1.87
HKDJPY - 1611.44 149.28 1.16
NZDCAD - 118.759 840.3 1.42
NZDCHF - 91.542 939.86 1.59
NZDHKD - 764.952 986.84 1.67
NZDJPY - 123.316 1142.34 1.93
NZDSGD - 122.337 854.91 1.45
NZDUSD - 98.971 989.71 1.67
SGDCHF - 60.446 620.6 0.89
SGDHKD - 324.258 418.32 0.6
SGDJPY - 93.657 867.6 1.24
TRYJPY - 27.886 258.32 1.71
USDCAD - 128.862 911.78 0.91
USDCHF - 87.329 896.6 0.9
USDCNH - 405.362 571.75 0.57
USDCZK - 3437.72 1354.31 1.35
USDDKK - 653.562 950.3 0.95
USDHKD - 67.844 87.52 0.09
USDHUF - 474.966 1418.53 1.42
USDINR - 69.41 914.37 0.91
USDJPY - 125.078 1158.67 1.16
USDMXN - 5202.1 2142.24 2.15
USDNOK - 2390.31 2298.44 2.3
USDPLN - 538.808 1280.04 1.28
USDSAR - 14.594 38.76 0.04
USDSEK - 1374.092 1358.46 1.36
USDSGD - 83.098 580.7 0.58
USDTHB - 24.081 731.28 0.73
USDTRY - 673.344 1014.99 1.01
USDZAR - 3080.84 1666 1.67
ZARJPY - 16.581 153.6 2.84
XAUUSD - 3578.38 0 0

EURUSD

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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