Forex average daily volatility formula
Forex traders who look for economic and policy forex average daily volatility formula to bet on are struggling to find persuasive reasons for betting on one currency moving much against another.
Hedge funds and asset managers are sitting on the sidelines, and daily trading volumes are down by double-digits.
Even a rush into government bonds by panicked investors and increased swings in stocks at the end of March were not enough to shake currencies out of their stupor, fuelling concerns on bank trading desks that generate bigger profits when prices swing more wildly.
Below are four graphics illustrating just how stuck in the doldrums FX markets are.
Volatility fell to its lowest levels since late in March, according to the Deutsche Bank Currency Volatility Index. The index, which measures three-month implied volatility - a commonly-used measure of expectations of price movements - weighted across major currency pairs, touched levels of 6.
Averaged out across the first three months of volatility was slightly higher than previous quarters but the trend is clear: Federal Reserve flagged an end to its rate tightening cycle and the European Central Bank followed with its own dovish shift. Three-month rates of implied volatility touched their lowest sinceand barring that year, were near their lowest levels since With concerns growing about slowdowns in both economies the exchange rate was pinned into its narrowest ever trading range - of less than four cents this compared to an average quarterly range of around 9 cents.
It hit a record 24 cents a decade earlier.
Sterling volatility has been more elevated due to Brexit uncertainty and the Turkish lira has also swung sharply, but these have been the outliers. Treasury market, underline investor nerves but have not spilled over into markedly bigger swings in the prices of currencies. Editing by Gareth Jones.