Volatility and Relationships

saikiranray · Jan 23, 2004

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.

RSPhoenix · Jan 23, 2004

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).

overload · Jan 23, 2004

RSPhoenix: Good post! Glad there are guys like you on the forum...

Quote from RSPhoenix:

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).

saikiranray · Jan 26, 2004

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.

anthony_trader · Jan 26, 2004

these averages look realistic however they do not take into account the % moves of the currencies.

Quote from RSPhoenix:

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).

RSPhoenix · Jan 26, 2004

Quote from anthony_trader:

...they do not take into account the % moves of the currencies.

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 Â£ 0.01 or nearly $ 0.0183 (much more than 100 pips in EUR/USD).

Quote from saikiranray:

Could You also tell me about the relationships.

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.

saikiranray · Jan 27, 2004

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

RSPhoenix · Jan 28, 2004

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.

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

Hope that gives you some good ideas!

overload · Jan 28, 2004

RSPhoenix: Where do you get such a chart(s)?

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

ol

RSPhoenix · Jan 28, 2004

Quote from overload:

Where do you get such a chart(s)?
I was under the impression that fx volume could not be seen live.

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.