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 - 58.058 434.5 0.61
AUDCHF - 49.269 485.46 0.68
AUDHKD - 400.658 510.71 0.72
AUDJPY - 60.864 543.82 0.76
AUDNZD - 52.266 349.08 0.49
AUDSGD - 52.174 384.51 0.54
AUDUSD - 51.052 510.52 0.72
CADCHF - 45.79 451.18 0.6
CADHKD - 315.296 401.9 0.54
CADJPY - 57.708 515.62 0.69
CADSGD - 45.712 336.89 0.45
CHFHKD - 334.578 426.48 0.43
CHFJPY - 52.556 469.59 0.48
CHFZAR - 1763.28 1249.47 1.27
EURAUD - 95.626 682.48 0.61
EURCAD - 82.456 617.09 0.55
EURCHF - 38.484 379.19 0.34
EURCZK - 560.26 245.16 0.22
EURDKK - 17.154 25.84 0.02
EURGBP - 68.256 886.58 0.79
EURHKD - 424.952 541.68 0.48
EURHUF - 120.49 422.96 0.38
EURJPY - 68.168 609.08 0.54
EURNOK - 479.246 563.61 0.5
EURNZD - 108.97 727.81 0.65
EURPLN - 110.574 290.5 0.26
EURSEK - 548.88 589.57 0.52
EURSGD - 53.026 390.79 0.35
EURTRY - 928.918 1590.04 1.41
EURUSD - 54.3 543 0.48
EURZAR - 1843.34 1306.2 1.16
GBPAUD - 171.9 1226.85 0.94
GBPCAD - 154.942 1159.57 0.89
GBPCHF - 112.684 1110.3 0.85
GBPHKD - 877.62 1118.69 0.86
GBPJPY - 133.104 1189.28 0.92
GBPNZD - 190.966 1275.46 0.98
GBPPLN - 418.922 1100.6 0.85
GBPSGD - 139.01 1024.47 0.79
GBPUSD - 111.76 1117.6 0.86
GBPZAR - 2674.34 1895.06 1.46
HKDJPY - 610.6 54.56 0.43
NZDCAD - 64.612 483.55 0.72
NZDCHF - 47.556 468.58 0.7
NZDHKD - 411.182 524.13 0.78
NZDJPY - 60.566 541.15 0.81
NZDSGD - 57.305 422.32 0.63
NZDUSD - 52.488 524.88 0.79
SGDCHF - 27.986 275.75 0.37
SGDHKD - 153.292 195.4 0.27
SGDJPY - 36.711 328.01 0.45
TRYJPY - 30.797 275.17 1.61
USDCAD - 71.17 532.63 0.53
USDCHF - 42.994 423.63 0.42
USDCNH - 227.104 338.19 0.34
USDCZK - 1261.94 552.2 0.55
USDDKK - 317.726 478.54 0.48
USDHKD - 23.174 29.54 0.03
USDHUF - 196.694 690.47 0.69
USDINR - 43.536 624.17 0.62
USDJPY - 48.242 431.04 0.43
USDMXN - 1563.84 831.71 0.83
USDNOK - 616.034 724.48 0.72
USDPLN - 228.17 599.45 0.6
USDSAR - 1.652 4.41 0
USDSEK - 694.852 746.37 0.75
USDSGD - 35.882 264.44 0.26
USDTHB - 13.68 429.11 0.43
USDTRY - 823.764 1410.05 1.41
USDZAR - 1810.04 1282.61 1.28
ZARJPY - 10.148 90.67 1.28

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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