Average Daily Ranges*
for use during the trading week of
November 2 - 6, 2009

* - Based on GFT DealBook 360 price data from October 5 to October 30, 2009. “Upper BB” predicts the maximum daily range for 95 of every 100 trading days, and is calculated by adding 2 standard deviations [of the ranges over the October 5 to October 30 period] to the average daily range.

Average Daily Ranges*
for use during the trading week of
October 26 - 30, 2009

* - Based on GFT DealBook 360 price data from September 28 to October 23, 2009. “Upper BB” predicts the maximum daily range for 95 of every 100 trading days, and is calculated by adding 2 standard deviations [of the ranges over the September 28 to October 23 period] to the average daily range.

Average Daily Ranges*
for use during the trading week of
October 19 - 23, 2009

* - Based on GFT DealBook 360 price data from September 21 to October 16, 2009. “Upper BB” predicts the maximum daily range for 95 of every 100 trading days, and is calculated by adding 2 standard deviations [of the ranges over the September 21 to October 16 period] to the average daily range.

Average Daily Ranges*
for use during the trading week of
October 12 - 16, 2009

* - Based on GFT DealBook 360 price data from September 14 to October 9, 2009. “Upper BB” predicts the maximum daily range for 95 of every 100 trading days, and is calculated by adding 2 standard deviations [of the ranges over the September 14 to October 9 period] to the average daily range.

Average Daily Ranges*
for use during the trading week of
September 28 - October 2, 2009

* - Based on GFT DealBook 360 price data from August 31 to September 25, 2009. “Upper BB” predicts the maximum daily range for 95 of every 100 trading days, and is calculated by adding 2 standard deviations [of the ranges over the August 31 to September 25 period] to the average daily range.

Average Daily Ranges*
for use during the trading week of
September 21 - 25, 2009

* - Based on GFT DealBook 360 price data from August 24 to September 18, 2009. “Upper BB” predicts the maximum daily range for 95 of every 100 trading days, and is calculated by adding 2 standard deviations [of the ranges over the August 24 to September 18 period] to the average daily range.

EUR/JPY daily range history since July 2007

(click on the graph to view a larger version)

Average Daily Ranges*
for use during the trading week of
September 14 - 18, 2009

* - Based on GFT DealBook 360 price data from August 17 to September 11, 2009. “Upper BB” predicts the maximum daily range for 95 of every 100 trading days, and is calculated by adding 2 standard deviations [of the ranges over the August 17 to September 11 period] to the average daily range.

EUR/USD daily range history since July 2007

(click on the graph to view a larger version)

Average Daily Ranges* for use during the trading week of September 7-11, 2009

* - Based on GFT DealBook 360 price data from August 10 to September 4, 2009. “Upper BB” predicts the maximum daily range for 95 of every 100 trading days, and is calculated by adding 2 standard deviations [of the ranges over the August 10 to September 4 period] to the average daily range.

[Click on the graph above for a larger version]

One of your most important indicators for trading the Forex market is the clock. Knowing how to trade — using technical and fundamental analysis, managing risk, adopting a trader’s mindset — is critical, but your effectiveness as a trader is limited until you know when to trade. The above graph [click on the graph to view a larger version] is a visual answer to the question, “When does the AUD/JPY tend to move?”

The small black squares on the graph represent the average range (high minus low) for the 15-minute candle which opens at the time of day designated by the scale at the bottom of the graph. The gray bars, which stretch above and below the black squares, represent what statisticians refer to as the 95% confidence interval for the true mean of the range for candles at that time of day. For an example of how to interpret those gray bars, look to the one labeled “Eastern European open”. The average range of the 15-minute candle which opens at 06:00 GMT, based on AUD/JPY price data from June 15 through August 14, has been about 20 pips. Recent data suggests the range of that candle has been statistically different from the average range (15 pips) of the previous 15-minute candle, but not statistically different from the average range (19 pips) of the next 15-minute candle. In simpler terms, the AUD/JPY has recently seen a significant surge in volatility during the hour beginning at 06:00 GMT, as compared to the volatility during the prior 4 hours.

This graph does not in any way predict the direction that the AUD/JPY moves at given time. It only shows how big the 15-minute candles have tended to be at different times in the day.

Times shown at the bottom of the graph are GMT. To convert GMT to your local time, go here.

Curt Wehrley
FX Bootcamp’s Quantitative Analyst

Related posts:
AUD/USD volatility by time of day (summer 2009)

EUR/USD volatility by time of day (summer 2009)

GBP/USD volatility by time of day (summer 2009)

EUR/JPY volatility by time of day (summer 2009)

GBP/JPY volatility by time of day (summer 2009)

[Click on the graph above for a larger version]

One of your most important indicators for trading the Forex market is the clock. Knowing how to trade — using technical and fundamental analysis, managing risk, adopting a trader’s mindset — is critical, but your effectiveness as a trader is limited until you know when to trade. The above graph [click on the graph to view a larger version] is a visual answer to the question, “When does the AUD/USD tend to move?”

The small black squares on the graph represent the average range (high minus low) for the 15-minute candle which opens at the time of day designated by the scale at the bottom of the graph. The gray bars, which stretch above and below the black squares, represent what statisticians refer to as the 95% confidence interval for the true mean of the range for candles at that time of day. For an example of how to interpret those gray bars, look to the one labeled “Eastern European Open”. The average range of the 15-minute candle which opens at 06:00 GMT, based on AUD/USD price data from June 15 through August 14, has been about 16 pips. Recent data suggests the range of that candle has been statistically different from the average range (12 pips) of the previous 15-minute candle, but not statistically different from the average range (16 pips) of the next 15-minute candle. In simpler terms, the AUD/USD has recently seen a significant surge in volatility during the hour beginning at 06:00 GMT, as compared to the volatility during the prior 4 hours.

This graph does not in any way predict the direction that the AUD/USD moves at given time. It only shows how big the 15-minute candles have tended to be at different times in the day.

Times shown at the bottom of the graph are GMT. To convert GMT to your local time, go here.

Curt Wehrley
FX Bootcamp’s Quantitative Analyst