Volatility analysis of EUR/USD and Cable, based on daily high/low price data from 2001 – 2010.
The charts below analyse daily volatility of EUR/USD and Cable from 2001-2010. The charts at the end of the post look at the frequency of daily moves.
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- Volatility first increased in Cable, then in EURUSD
- Volatility still high in EUR/USD, but flattened in Cable
- Most daily moves stay within a 100-160 Pip Range (Cable and Euro)
- EUR/USD stays in a 20 pip range for significant number of days
- Daily moves with more than 200 pips are rare, with progressively decreasing probability for larger moves
- The largest daily moves observed in EURUSD are +500, in Cable +1.000 pips
Click here for a EUR/USD_CABLE_VOLATILITY (PDF version)
