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 - 73.063 592.66 0.74
AUDCHF - 71.615 738.07 0.92
AUDHKD - 553.94 710.12 0.88
AUDJPY - 82.197 731.94 0.01
AUDNZD - 73.94 543.83 0.68
AUDSGD - 75.052 556.39 0.69
AUDUSD - 71.259 712.59 0.89
CADCHF - 72.324 745.38 0.92
CADHKD - 495.076 634.66 0.78
CADJPY - 81.717 727.67 0.01
CADSGD - 71.262 528.3 0.65
CHFHKD - 690.608 885.32 0.86
CHFJPY - 81.868 729.01 0.01
CHFZAR - 1794.92 1346.83 1.31
EURAUD - 117.072 940.21 0.79
EURCAD - 124.09 1006.57 0.85
EURCHF - 74.384 766.61 0.64
EURCZK - 689.02 313.87 0.26
EURDKK - 24.364 38.92 0.03
EURGBP - 66.942 903.25 0.76
EURHKD - 714.342 915.74 0.77
EURHUF - 116.24 447.47 0
EURJPY - 100.324 893.36 0.01
EURNOK - 543.312 690.9 0.58
EURNZD - 143.326 1054.16 0.89
EURPLN - 197.372 548.3 0.46
EURSEK - 463.734 578.39 0.49
EURSGD - 93.31 691.75 0.58
EURTRY - 343.824 980.92 0.82
EURUSD - 91.702 917.02 0.77
EURZAR - 1829.14 1372.51 1.15
GBPAUD - 140.274 1126.54 0.83
GBPCAD - 144.512 1172.23 0.87
GBPCHF - 112.32 1157.58 0.86
GBPHKD - 761.106 975.69 0.72
GBPJPY - 134.49 1197.6 0.01
GBPNZD - 162.472 1194.98 0.89
GBPPLN - 410.93 1141.57 0.85
GBPSGD - 115.064 853.02 0.63
GBPUSD - 97.792 977.92 0.72
GBPZAR - 2083.02 1563.01 1.16
HKDJPY - 1171.14 104.29 0.81
NZDCAD - 82.775 671.44 0.91
NZDCHF - 70.868 730.37 0.99
NZDHKD - 573.566 735.28 1
NZDJPY - 81.047 721.7 0.01
NZDSGD - 81.336 602.98 0.82
NZDUSD - 73.925 739.25 1.01
SGDCHF - 50.176 517.12 0.7
SGDHKD - 232.934 298.61 0.4
SGDJPY - 54.563 485.87 0.01
TRYJPY - 29.424 262.01 0.01
USDCAD - 99.354 805.92 0.81
USDCHF - 81.979 844.88 0.84
USDCNH - 232.686 353.34 0.35
USDCZK - 1784.84 813.06 0.81
USDDKK - 488.134 779.78 0.78
USDHKD - 49.294 63.19 0.06
USDHUF - 236.656 911.02 0.01
USDINR - 19.764 305.94 0
USDJPY - 92.014 819.36 0.01
USDMXN - 1588.36 893.27 0.89
USDNOK - 738.36 938.94 0.94
USDPLN - 338.204 939.53 0.94
USDSAR - 2.226 5.94 0.01
USDSEK - 687.034 856.9 0.86
USDSGD - 55.462 411.16 0.41
USDTHB - 8.105 244.94 0
USDTRY - 254.562 726.26 0.73
USDZAR - 1567.94 1176.51 1.18
ZARJPY - 10.589 94.29 0.01

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.

Trading tools