Volatility and Relationships

Discussion in 'Forex' started by saikiranray, Jan 23, 2004.

  1. Hi All

    I am Listing below a few currencies I have been watching for a while.

    USD/JPY AUD/USD GBP/USD EUR/CHF
    USD/CHF NZD/USD GBP/CHF EUR/USD
    USD/CAD GBP/JPY EUR/JPY
    EUR/GBP


    I have been observing the above pairs for intaday trading
    I have two questions about them.

    1) Which of the above pairs are less/more volatile from an intraday, intrahour perspective (I have tried to come to some conclusions but mostly have always been wrong thats why I seek your perspective).

    2)Which of the above pairs are most proportional, either Directly of Inversely against which other pairs
    (What I did observe was the the eur/usd and usd/chf was the most inversely proportional pair. the aud/usd and nzd/usd were directly proportional the aussie was much more volatile and tended to follow in the eur/usd's direction in case of a big move).


    Please post your thoughts and ideas which will correspond and intraday/hour outlook.

    thank you.
     
  2. Hi,

    GBP/CHF is the most volatile crossrate. Take a look at the 500d Average Daily Range (Range = High - Low):

    USDJPY: 127 Pips per day
    AUDUSD: 63 Pips per day
    GBPUSD: 126 Pips per day
    EURCHF: 68 Pips per day
    USDCHF: 154 Pips per day
    NZDUSD: 62 Pips per day
    GBPCHF: 190 Pips per day
    EURUSD: 106 Pips per day
    USDCAD: 119 Pips per day
    GBPJPY: 164 Pips per day
    EURJPY: 116 Pips per day
    EURGBP: 54 Pips per day

    A Pip is the smallest possible change (e.g. $ 0.0001 in EURUSD).
     
  3. RSPhoenix: Good post! Glad there are guys like you on the forum...

     
  4. Thank You RS Phoenix that has been extremely informative.
    Could You also tell me about the relationships. I see from your table that the volatility of both the aussie and the kiwi is the same (63 and 62 pips respectively). But the interesting one was the the swissie is much more volatile than the Euro/USD.

    Thank You Once again.
     
  5. these averages look realistic however they do not take into account the % moves of the currencies.

     
  6. That doesn't matter in trading currencies because you trade in fixed units of the underlying crossrate (e.g. 1,000,000 in GBP/CHF). But you must consider that some currencies have a higher leverage than others, e.g. 100 pips in EUR/GBP is worth £ 0.01 or nearly $ 0.0183 (much more than 100 pips in EUR/USD).



    It's really difficult to find some useful relationships. I don't look at such relationships. I trade fxrates technically. I only look at trends and reversal points.
     
  7. Hi RSphoenix

    Since you are a technical trader I will ask you a question, please exxcuse my naivety

    Which of the above pairs do you think are the most stable to project using and ema or an sma. both on an intraday and weekly basis.

    thank you
     
  8. Hi,

    most time I don't use technical indicators like SMA, EMA or Momentum... I prefer trendlines, supports, resistances, chart pattern and so on. Sometimes I use an indicator called "volume weighted average" VWA what is an interesting market-depth indicator. You can compare it with the weighted moving average indicator. The VWA gives an indication for the current average entry price of trader's open interest. As you can see on the charts below, it has only little difference to common moving average studies. I use it for all major crossrates, e.g. EUR/USD.

    [​IMG]
    [​IMG]

    To confirm support and resistance lines, I use some sophisticated market profile techniques (also known as VolumeAtPrice or PriceLevelProfile).

    [​IMG]

    Hope that gives you some good ideas!
     
  9. RSPhoenix: Where do you get such a chart(s)?

    I was under the impression that fx volume could not be seen live.

    ol
     
  10. Hi,

    yes that's true. I use these analysis techniques for all markets, not only for fxrates. In this special case volume is replaced by "number of ticks per interval". That is no exact method but nevertheless a good approximation as you can see in the first chart above.
     
    #10     Jan 28, 2004