Tradestation Labs Analysis Concepts - Chart Book: FX Volatility Part 1

TRADESTATIONLABSANALYSISCONCEPTS
CHARTBOOK
FXVolatilityPart1
ByFredericPalmliden,CMT
Table1:U.S.Session(8:0017:00ET)5YearsofData
Forex Pair
NZDJPY
AUDJPY
AUDUSD
NZDUSD
GBPJPY
EURJPY
USDCAD
EURAUD
USDCHF
CHFJPY
USDJPY
EURUSD
GBPUSD
GBPCHF
EURGBP
EURCHF
Volatility Ranking
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
Standard Deviation (%)

0.9473
0.9465
0.7159
0.6962
0.6550
0.6086
0.5976
0.5560
0.5293
0.5227
0.5182
0.4968
0.4842
0.4641
0.3609
0.3133
Pips (2 Std. Dev. * Close)

120
163
148
106
174
143
116
152
97
95
86
141
155
137
64
82
Table2:AsianSession(18:003:00ET)5YearsofData
Forex Pair
NZDJPY
AUDJPY
EURJPY
GBPJPY
USDJPY
CHFJPY
NZDUSD
AUDUSD
EURCHF
EURAUD
GBPCHF
EURUSD
USDCHF
USDCAD
GBPUSD
EURGBP
Volatility Ranking
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

1.1658
1.1227
0.8667
0.8472
0.7631
0.6517
0.5718
0.4746
0.3944
0.3605
0.3491
0.2770
0.2701
0.2164
0.1899
0.1796

147
192
203
226
126
118
87
98
102
99
103
78
50
42
61
32

Table3:EuropeanSession(3:0012:00ET)5YearsofData
Forex Pair
NZDJPY
AUDJPY
GBPJPY
NZDUSD
AUDUSD
EURJPY
USDCAD
GBPCHF
CHFJPY
GBPUSD
USDCHF
EURAUD
EURUSD
USDJPY
EURGBP
EURCHF
Volatility Ranking
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

0.9566
0.9147
0.7726
0.7027
0.6897
0.6719
0.6061
0.6034
0.5978
0.5825
0.5761
0.5591
0.5473
0.5292
0.5133
0.3596

121
157
205
107
143
158
118
177
108
187
106
153
155
88
91
93
24HourFXVolatilityMap(EST)
0.5
USDCHF
0.45
NZDJPY
0.4
EURGBP
Volatility
0.35
EURUSD
0.3
EURCHF
0.25
EURJPY
0.2
EURAUD
0.15
GBPCHF
0.1
Europe U.S.
Asia
GBPJPY
GBPUSD
1:00
2:00
3:00
4:00
5:00
6:00
7:00
8:00
9:00
10:00
11:00
12:00
13:00
14:00
15:00
16:00
17:00
18:00
19:00
20:00
21:00
22:00
23:00
0:00
0.05
NZDUSD
HourofDay(EST)
AUDUSD
AUDJPY
1:00
2:00
3:00
4:00
5:00
6:00
7:00
8:00
9:00
10:00
11:00
12:00
13:00
14:00
15:00
16:00
17:00
18:00
19:00
20:00
21:00
22:00
23:00
0:00
Volatility
1:00
2:00
3:00
4:00
5:00
6:00
7:00
8:00
9:00
10:00
11:00
12:00
13:00
14:00
15:00
16:00
17:00
18:00
19:00
20:00
21:00
22:00
23:00
0:00
Volatility
AsianFXCrossesVolatility
0.5
0.45
0.4
0.35
0.3
0.25
AUDJPY
NZDJPY
0.2
0.15
0.1
HourofDay(EST)
EuropeanFXCrossesVolatility
0.25
0.2
0.15
0.1
EURGBP
EURCHF
GBPCHF
0.05
HourofDay(EST)
HourofDay(EST)
0.1
0:00
23:00
1:00
2:00
3:00
4:00
5:00
6:00
7:00
8:00
9:00
10:00
11:00
12:00
13:00
14:00
15:00
16:00
17:00
18:00
19:00
20:00
21:00
22:00
23:00
0:00
Volatility
0.1
22:00
21:00
20:00
19:00
18:00
0.15
17:00
16:00
15:00
14:00
13:00
12:00
0.2
11:00
10:00
9:00
8:00
7:00
6:00
5:00
4:00
3:00
2:00
1:00
Volatility(Std.Deviation)
"Big4"FXPairsVolatility
0.25
0.2
0.15
EURUSD
GBPUSD
USDCHF
0.05
USDJPY
HourofDay(EST)
USDCHFAvg.24HourVolatility
0.25
0.05
HourofDay(EST)
0:00
23:00
0.1
0:00
23:00
0.12
22:00
21:00
20:00
0.14
22:00
21:00
20:00
19:00
18:00
17:00
16:00
15:00
14:00
13:00
12:00
11:00
0.16
19:00
0.15
18:00
GBPUSDAvg.24HourVolatility
10:00
9:00
8:00
7:00
6:00
5:00
4:00
3:00
2:00
1:00
0.18
17:00
16:00
15:00
14:00
13:00
0.2
12:00
11:00
0.25
10:00
9:00
8:00
7:00
6:00
5:00
4:00
3:00
2:00
1:00
EURUSDAvg.24HourVolatility
0.2
0.08
0.06
0.04
0.02
HourofDay(EST)
0.1
0.05
HourofDay(EST)
0:00
0.2
0:00
23:00
22:00
21:00
0.3
23:00
22:00
21:00
20:00
19:00
18:00
0.35
20:00
19:00
18:00
0.25
17:00
16:00
15:00
14:00
13:00
12:00
11:00
10:00
9:00
8:00
7:00
6:00
5:00
4:00
3:00
2:00
1:00
0.4
17:00
16:00
15:00
14:00
13:00
12:00
11:00
10:00
9:00
8:00
7:00
6:00
5:00
4:00
3:00
2:00
1:00
NZDJPYAvg.24HourVolatility
0.45
0.25
0.2
0.15
0.1
0.05
HourofDay(EST)
EURJPYAvg.24HourVolatility
0.3
0.15
0.1
0.05
HourofDay(EST)
0.2
0.15
0.1
0.05
0
22:00
21:00
20:00
19:00
0:00
0:00
0.35
23:00
HourofDay(EST)
GBPJPYAvg.24HourVolatility
23:00
22:00
21:00
20:00
19:00
18:00
17:00
16:00
15:00
14:00
13:00
0.2
18:00
0.25
17:00
16:00
15:00
14:00
0.3
13:00
12:00
11:00
10:00
9:00
8:00
7:00
6:00
5:00
4:00
3:00
2:00
0.25
12:00
11:00
10:00
9:00
8:00
7:00
6:00
5:00
4:00
3:00
2:00
1:00
1:00
EURAUDAvg.24HourVolatility
0.3
0.15
0.1
0.05
0
17:00
16:00
15:00
14:00
13:00
12:00
11:00
10:00
9:00
8:00
7:00
6:00
5:00
4:00
3:00
2:00
1:00
0:00
0.05
0:00
0.1
23:00
0.15
23:00
0.2
22:00
0.25
22:00
0.3
21:00
0.35
21:00
0.4
20:00
0.45
20:00
0.5
19:00
AUDJPYAvg.24HourVolatility
19:00
18:00
HourofDay(EST)
18:00
17:00
16:00
15:00
14:00
13:00
12:00
11:00
10:00
9:00
8:00
7:00
6:00
5:00
4:00
3:00
2:00
1:00
NZDUSDAvg.24HourVolatility
0.35
0.3
0.25
0.2
0.15
0.1
0.05
HourofDay(EST)
HourofDay(EST)
23:00
0:00
0:00
17:00
16:00
15:00
14:00
13:00
12:00
11:00
10:00
9:00
8:00
7:00
6:00
5:00
4:00
3:00
2:00
1:00
23:00
0
22:00
0.05
22:00
0.1
21:00
0.15
21:00
0.2
20:00
0.25
20:00
0.3
19:00
CHFJPYAvg.24HourVolatility
19:00
18:00
HourofDay(EST)
18:00
17:00
16:00
15:00
14:00
13:00
12:00
11:00
10:00
9:00
8:00
7:00
6:00
5:00
4:00
3:00
2:00
1:00
AUDUSDAvg.24HourVolatility
0.35
0.3
0.25
0.2
0.15
0.1
0.05
HourofDay(EST)
0.02
0
18:00
17:00
16:00
15:00
14:00
13:00
12:00
11:00
10:00
9:00
8:00
7:00
6:00
5:00
4:00
3:00
2:00
1:00
0:00
0.04
0:00
0.06
23:00
0.08
23:00
0.1
22:00
0.12
22:00
0.14
21:00
0.16
21:00
0.18
20:00
EURGBPAvg.24HourVolatility
20:00
19:00
HourofDay(EST)
19:00
18:00
17:00
16:00
15:00
14:00
13:00
12:00
11:00
10:00
9:00
8:00
7:00
6:00
5:00
4:00
3:00
2:00
1:00
USDJPYAvg.24HourVolatility
0.25
0.2
0.15
0.1
0.05
HourofDay(EST)
0:00
0:00
18:00
17:00
16:00
15:00
14:00
13:00
12:00
11:00
10:00
9:00
8:00
7:00
6:00
5:00
4:00
3:00
2:00
1:00
23:00
23:00
0.05
22:00
0.1
22:00
0.15
21:00
0.2
21:00
0.25
20:00
USDCADAvg.24HourVolatility
20:00
19:00
HourofDay(EST)
19:00
18:00
17:00
16:00
15:00
14:00
13:00
12:00
11:00
10:00
9:00
8:00
7:00
6:00
5:00
4:00
3:00
2:00
1:00
EURCHFAvg.24HourVolatility
0.16
0.14
0.12
0.1
0.08
0.06
0.04
0.02
GBPCHFAvg.24HourVolatility
0.25
0.2
0.15
0.1
0.05
0:00
23:00
22:00
21:00
20:00
19:00
18:00
17:00
16:00
15:00
14:00
13:00
12:00
11:00
10:00
9:00
8:00
7:00
6:00
5:00
4:00
3:00
2:00
1:00
HourofDay(EST)
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Tradestation Labs Analysis Concepts - Chart Book: FX Volatility Part 1

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Standard Deviation (%)

Pips (2 Std. Dev. * Close)

Standard Deviation (%)

Pips (2 Std. Dev. * Close)

Standard Deviation (%)

Pips (2 Std. Dev. * Close)

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