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 - 67.129 512.36 0.67
AUDCHF - 55.856 556.28 0.72
AUDHKD - 466.78 601.42 0.78
AUDJPY - 77.844 693.67 0.01
AUDNZD - 56.624 408.49 0.53
AUDSGD - 65.77 468.75 0.61
AUDUSD - 60.571 605.71 0.79
CADCHF - 55.375 551.49 0.72
CADHKD - 408.128 525.85 0.69
CADJPY - 79.263 706.32 0.01
CADSGD - 64.478 459.54 0.6
CHFHKD - 558.156 719.15 0.72
CHFJPY - 84.788 755.55 0.01
CHFZAR - 1712.06 1322.5 1.33
EURAUD - 101.92 783.56 0.74
EURCAD - 105.69 806.67 0.76
EURCHF - 31.924 317.94 0.3
EURCZK - 60.56 23.79 0.02
EURDKK - 16.832 24.03 0.02
EURGBP - 72.492 910.79 0.86
EURHKD - 639.212 823.59 0.78
EURHUF - 125.438 431.65 0
EURJPY - 94.496 842.06 0.01
EURNOK - 396.872 476.87 0.45
EURNZD - 109.132 787.28 0.74
EURPLN - 204.208 503.11 0.47
EURSEK - 406.308 453.14 0.43
EURSGD - 86.386 615.68 0.58
EURTRY - 565.404 1576.96 1.49
EURUSD - 82.808 828.08 0.78
EURZAR - 1797.58 1388.56 1.31
GBPAUD - 148.336 1140.41 0.91
GBPCAD - 142.49 1087.54 0.87
GBPCHF - 104.474 1040.47 0.83
GBPHKD - 894.32 1152.28 0.92
GBPJPY - 152.528 1359.19 0.01
GBPNZD - 165.078 1190.87 0.95
GBPPLN - 474.706 1169.54 0.93
GBPSGD - 147.91 1054.17 0.84
GBPUSD - 115.57 1155.7 0.92
GBPZAR - 2428.66 1876.05 1.49
HKDJPY - 1500.28 133.69 1.04
NZDCAD - 72.752 555.27 0.77
NZDCHF - 55.399 551.73 0.76
NZDHKD - 515.366 664.02 0.92
NZDJPY - 69.361 618.08 0.01
NZDSGD - 72.019 513.28 0.71
NZDUSD - 66.712 667.12 0.92
SGDCHF - 40.044 398.8 0.56
SGDHKD - 303.612 391.19 0.55
SGDJPY - 58.744 523.47 0.01
TRYJPY - 47.655 424.66 0.02
USDCAD - 91.988 702.09 0.7
USDCHF - 73.537 732.37 0.73
USDCNH - 313.954 458.37 0.46
USDCZK - 1984.34 779.58 0.78
USDDKK - 544.588 777.58 0.78
USDHKD - 22.748 29.31 0.03
USDHUF - 261.112 898.53 0.01
USDINR - 26.649 400.02 0
USDJPY - 116.79 1040.72 0.01
USDMXN - 2755.14 1397.53 1.4
USDNOK - 685.968 824.24 0.82
USDPLN - 358.406 883.01 0.88
USDSAR - 5.716 15.24 0.02
USDSEK - 729.98 814.12 0.81
USDSGD - 80.412 573.1 0.57
USDTHB - 10.416 298.54 0
USDTRY - 542.624 1513.43 1.51
USDZAR - 1886.98 1457.62 1.46
ZARJPY - 11.74 104.62 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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