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 - 65.459 490.84 0.64
AUDCHF - 60.369 605.75 0.79
AUDHKD - 463.02 595.85 0.78
AUDJPY - 78.804 709.5 0.01
AUDNZD - 63.644 446.4 0.58
AUDSGD - 68.296 489.47 0.64
AUDUSD - 59.822 598.22 0.78
CADCHF - 51.641 518.17 0.69
CADHKD - 368.484 474.2 0.63
CADJPY - 71.712 645.65 0.01
CADSGD - 60.186 431.35 0.58
CHFHKD - 503.2 647.56 0.65
CHFJPY - 81.494 733.72 0.01
CHFZAR - 1867.2 1444.82 1.44
EURAUD - 107.71 825.27 0.77
EURCAD - 98.852 741.24 0.69
EURCHF - 37.262 373.89 0.35
EURCZK - 59.62 23.69 0.02
EURDKK - 18.866 27.23 0.03
EURGBP - 67.488 837.73 0.78
EURHKD - 568.652 731.79 0.68
EURHUF - 123.694 428.42 0
EURJPY - 94.142 847.59 0.01
EURNOK - 492.658 577.55 0.54
EURNZD - 115.104 807.34 0.75
EURPLN - 217.586 552.57 0.51
EURSEK - 406.244 456.64 0.43
EURSGD - 77.448 555.06 0.52
EURTRY - 520.886 1431.04 1.33
EURUSD - 73.284 732.84 0.68
EURZAR - 2001.78 1548.96 1.44
GBPAUD - 151.712 1162.42 0.94
GBPCAD - 134.01 1004.87 0.81
GBPCHF - 96.196 965.24 0.78
GBPHKD - 811.56 1044.38 0.84
GBPJPY - 138.456 1246.57 0.01
GBPNZD - 162.904 1142.61 0.92
GBPPLN - 436.37 1108.18 0.89
GBPSGD - 136.92 981.29 0.79
GBPUSD - 105.146 1051.46 0.85
GBPZAR - 2506.72 1939.68 1.56
HKDJPY - 1302.18 117.24 0.91
NZDCAD - 69.755 523.06 0.75
NZDCHF - 55.562 557.52 0.79
NZDHKD - 481.706 619.9 0.88
NZDJPY - 68.289 614.83 0.01
NZDSGD - 68.439 490.5 0.7
NZDUSD - 62.224 622.24 0.89
SGDCHF - 38.403 385.34 0.54
SGDHKD - 276.814 356.23 0.5
SGDJPY - 51.887 467.16 0.01
TRYJPY - 41.506 373.69 0.01
USDCAD - 83.304 624.66 0.62
USDCHF - 65.101 653.23 0.65
USDCNH - 227.454 330.63 0.33
USDCZK - 1724.7 685.36 0.69
USDDKK - 478.076 689.98 0.69
USDHKD - 24.592 31.65 0.03
USDHUF - 226.362 784.02 0.01
USDINR - 26.602 410.02 0
USDJPY - 101.184 910.99 0.01
USDMXN - 2768.84 1479.63 1.48
USDNOK - 656.338 769.43 0.77
USDPLN - 319.648 811.76 0.81
USDSAR - 3.284 8.76 0.01
USDSEK - 651.108 731.88 0.73
USDSGD - 71.506 512.48 0.51
USDTHB - 11.373 330.13 0
USDTRY - 491.196 1349.48 1.35
USDZAR - 1974.08 1527.52 1.53
ZARJPY - 12.68 114.16 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.

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