The data displayed above in the forex volatility dashboard
represents different ways to view volatility in aggregate. It
could be compared to the information that the VIX index tells you,
instead representative of the foreign currency markets.
On each of the charts, you can toggle the data that is
shown by clicking on the labels in the legend.
The
chart labeled Aggregate Volatility shows the volatility of
price and volumn across 28 major forex pairs. It has been
aggregated by taking the range of daily candles across the
timeperiod shown above. The daily range for each pair is then
normalized between 0 and 1, so that the data can be scaled
relative to the other forex pair prices. We add up each of the
normalized price series, then divide by the total number of fx
pairs used in the calculation to retrieve the final value shown in
this chart. The 25th, 50th and 75th percentile of the range of the
aggregated price volatility is then plotted along the horizontal
axis. These percentiles can help us identify when volatility might
be low or high relative to history.
The
Volatility Aggregated per Major Currency uses the same data
processing module as the one described above to generate each
price data series. Instead of using all 28 major forex pairs as
input, we use the 7 major foreign exchange pairs at a time, to
represent one currency. For instance, the "EUR" grouping includes
the following forex pairs:
EURUSD, EURAUD, EURNZD,
EURGBP, EURCHF, EURJPY, EURCAD
This helps us
investigate the relative volatility of currency prices against
each other at any point in history. It can help us identify when a
news events might be driving volatililty in the currency markets,
and which currency pairs they are affecting the most. Or, perhaps
a trader just wants to use this chart to track volatility changes
in currencies to identify trading opportunities.
The
FX Pairs tab contains the historical volatility of each of
the major currency pairs, normalized between 0 and 1. Again, you
can toggle the series that is shown on each chart by clicking on
the labels in the legend.
These charts are no longer
updated on a daily basis. If daily updates of these charts are
something that might be useful to you, drop us a note.