Volatility Ranking

Thanks a lot. Really good one:D

eCW0_v1.gif
 
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
 
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
 
Quote from fengshui-123:

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
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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.
 
Quote from fengshui-123:

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
More...

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 ;)
 
Quote from 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 ;)
More...


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%
 
Quote from kalzayani:

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%
More...

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
 
Quote from kalzayani:

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)
More...

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)
 
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