Weekly Chart Pack – 19th January 2021

*A collection of custom trading and finance related charts and analysis*

FX Volatility.

Average Daily Volatility for FX Majors Against a Basket of Currencies
Rolling Monthly Volatility of 6 Major FX Currencies excl. JPY

Notes: Average FX volatility for 4 of the 7 major currency pairs is still considered High when comparing the one month average daily volatility vs the last 5 years. GBP volatility has dropped in recent days and when you consider how Brexit effected markets, it is no shock to see it being recorded as Low.

The rolling monthly volatility of the 6 major FX currencies (excluding JPY) is still elevated and trading higher than the lows of the last 12 months and could still go higher. I think a lot of traders will be monitoring Vol closely over the next few months on all asset classes, not just FX.

VIX Indicator For Multiple Instruments.

A custom volatility indicator built on the principles of Larry Williams VIXFIX theory and applied to the daily timeframe of the following financial instruments. For each financial instrument I have displayed a 12 month and 3 year chart and applied my volatility indicator to each.

S&P500 Index, Ticker: ^GSPC

Crude Oil Futures, Ticker: CL=F

GBPUSD Currency Pair, Ticker: GBPUSD=X

EURUSD Currency Pair, Ticker: EURUSD=X

EURGBP Currency Pair, Ticker: EURGBP=X

Extra analysis – GBPJPY Intraday Price

For this next currency pair, I am using intraday price data (30 minute timeframe) to which I calculate and apply the VixFix indicator. Much like the higher timeframe charts above, I use this indicator when looking for potential reverses in the markets based on the theory that increased levels of price volatility occur near market bottoms and therefore, low market volatility occurs near market highs.

As you can see, GBPJPY has been trending upwards since the lows in October 2020 and currently I see momentum starting to shift. Not only are the higher lows beginning to disappear but the volatility spikes are decreasing. This bias is supported by the RSI momentum indicator (Relative Strength Index) which is now showing as overbought once more, and is approaching the same RSI values as seen at the point of last 2 major price reversals.

I believe we might see a lower high form here and downside price movements to continue. This would be a fairly major event for GBPJPY as it signifies a reversal in the intraday trend and could take price back down to previous price support levels at 140.500, 139.500 and even 137.000.

FX Correlation Data.

A table of data showing the correlation coefficient between major currency pairs based on the daily log returns through the previous 36 months of price data. The least correlated pairs have been highlighted in each column for ease of use. An excel file containing this table can be downloaded using the button below the table.

*All price data used in the creation of these custom indicators and charts was downloaded from https://finance.yahoo.com

If you are interested in learning my personal trading strategies, please consider my Mastering The Markets – Retail Trading Course. Head over to my Financial Analysis Education page to check out all of my education packages and the deals available.

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DISCLAIMER: None of the information posted on this site is to be considered investment/financial advice. Trading is high risk and you should only trade with money you can afford to lose.

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