Volatility Ranking

Discussion in 'Forex Trading' started by fengshui-123, Oct 4, 2005.

  1. Where can I find a list of forex volatility ranking, which is the most volatile and which is next etc?
     
  2. Thanks a lot. Really good one:D

    [​IMG]
     
  3. Found one thing a bit funny, read across the rows, 1-days, 5-days, 10-days, 20-days pip are about the same order of magnitude. it could mean trading for 1 day is equivalent to trading for 20 days(one month). you just need to work 1 day a month, great:D
     
  4. These are the entry ranges for each hour (NY EST)

    But mainly used to short...cause I belive its heading to 1.15
    GL
    KaL

    Wed 10/05/05 04:00 AM 1.2015 1.1943
    Wed 10/05/05 05:00 AM 1.2027 1.1955
    Wed 10/05/05 06:00 AM 1.2014 1.1942
    Wed 10/05/05 07:00 AM 1.2026 1.1954
    Wed 10/05/05 08:00 AM 1.2031 1.1959
    Wed 10/05/05 09:00 AM 1.2032 1.1960
    Wed 10/05/05 10:00 AM 1.2042 1.1970
    Wed 10/05/05 11:00 AM 1.2048 1.1976
    Wed 10/05/05 12:00 PM 1.2050 1.1978
    Wed 10/05/05 01:00 PM 1.2048 1.1976
    Wed 10/05/05 02:00 PM 1.2050 1.1978
    Wed 10/05/05 03:00 PM 1.2044 1.1972
    Wed 10/05/05 04:00 PM 1.2043 1.1971
    Wed 10/05/05 05:00 PM 1.2040 1.1968
    Wed 10/05/05 06:00 PM 1.2042 1.1970
    Wed 10/05/05 07:00 PM 1.2049 1.1977

    This is eurCad...
    again used to short for the month
    Wed 10/05/05 04:00 AM 1.4063 1.3969
    Wed 10/05/05 05:00 AM 1.4056 1.3962
    Wed 10/05/05 06:00 AM 1.4050 1.3956
    Wed 10/05/05 07:00 AM 1.4062 1.3968
    Wed 10/05/05 08:00 AM 1.4075 1.3981
    Wed 10/05/05 09:00 AM 1.4080 1.3986
    Wed 10/05/05 10:00 AM 1.4090 1.3996
    Wed 10/05/05 11:00 AM 1.4098 1.4004
    Wed 10/05/05 12:00 PM 1.4101 1.4007
    Wed 10/05/05 01:00 PM 1.4101 1.4007
    Wed 10/05/05 02:00 PM 1.4097 1.4003
    Wed 10/05/05 03:00 PM 1.4100 1.4006
    Wed 10/05/05 04:00 PM 1.4094 1.4000
    Wed 10/05/05 05:00 PM 1.4094 1.4000
    Wed 10/05/05 06:00 PM 1.4101 1.4007
    Wed 10/05/05 07:00 PM 1.4106 1.4012
    Wed 10/05/05 08:00 PM 1.4077 1.3983
    Wed 10/05/05 09:00 PM 1.4124 1.4030
    Wed 10/05/05 10:00 PM 1.4124 1.4030
    Wed 10/05/05 11:00 PM 1.4140 1.4046
    Thu 10/06/05 12:00 AM 1.4146 1.4052
    Thu 10/06/05 01:00 AM 1.4139 1.4045
     
  5. Well, the way those tables are constructed, the 5-day volatility for a given currency pair is the average daily range over the most recent 5 days. Similarly for 10 and 20 days. And the 5-hour vol. is the average hourly range over the most recent 5 hours; ditto for 10 and 20 hours.

    If the numbers across a row are close, it just means that the volatility for that currency pair has been stable over the period in question, neither contracting nor expanding.
     
  6. arnaud

    arnaud

    It mean that Euro Dollar moved in a daily range of 48 pips yesterday. In a daily range (average) of 83 pips during the last 5 days...etc
    It's the average of daily range ;) not the total range of 5 days

    edit: late apex was faster ;)
     

  7. should compute in terms of percent...Cause when anything is more expensive...(ie. euro at 1.36...not the same when at .800)
    the percent st Deviation will solve that for U.

    I just that for U
    The daily...stdev(=68% of variation)

    EURUSD 0.455%
    USDJPY 0.391%
    GBPUSD 0.315%
    USDCHF 0.435%
    EURCHF 0.212%
    AUDUSD 0.532%
    USDCAD 0.296%
    NZDUSD 0.532%
    EURGBP 0.405%
    EURJPY 0.587%
    GBPJPY 0.467%
    CHFJPY 0.552%
    GBPCHF 0.408%
    EURAUD 0.553%
    EURCAD 0.524%
    AUDCAD 0.484%
    AUDJPY 0.657%
     
  8. another thing is that to change the daily into weekly
    Just multily sqr(n)
    Eur/USD Weekly=0.455%*6^.5
    to do hourly divide daily by 24^.5
    hope that helps
     
  9. arnaud

    arnaud

    I added the "volatility" in percent
    (High-Low)/low : http://www.mataf.net/en/analysis-volatility.htm

    But I think it's not important, most of traders buy and sell 100k contract. The variation in pip or $ seems most important.

    (excuse my poor english)
     
    #10     Oct 5, 2005