There also appears to be lower deviation in volatility than volume, suggesting that as trading volumes in the Japanese Yen increase, their ability to move the market does not increase in direct proportion. Turning our attention to the volume, it is obvious that there is a strong positive correlation between high volume and high volatility. Once again, it should be remembered that there is overlap between the London and New York sessions, and so the higher volatility and volumes around the the New York open do not mean that more volume is traded exclusively at that location the volume shown are aggregated by time period alone. It will be interesting to see whether this is borne out by analysis of the GBP/USD pair in future weeks. One point worthy of note is that, unlike with the EUR/USD pair, the volatility for USD/JPY is just as high around the East Asian open as it is the London open, suggesting that the “home” market may support the most trading. The largest hourly price movements occur between 8.00 and 9.00am when the New York markets open, with two lesser peaks in volatility representing the London and East Asia openings. The picture here is very similar to what we saw for the Euro last week.
#YEN TIMING FULL SIZE#
This has been taken from the full size Japanese Yen Futures Contract which trades on the Chicago Mercantile Exchange, and the data has been scaled to fit with the price data. The chart below also includes volume data. Volatility is measured simply by hourly range in pips, and all times are EDT. Analyzing the DataĪs with all articles in this series, we’ve looked at five years of intraday price data (providing roughly 250 data points for each individual hourly period), and have used quotes from the USD/JPY spot forex market. This might support the idea that a currency is most heavily traded in it’s “home” market.
Interestingly, similar reports for forex volume in the London markets (where the greatest daily trading volumes are transacted) place the USD/JPY pair in third place, after the British Pound. The Japanese Yen is widely considered to be the second most traded forex pair by volume.Īlthough the lack of definitive volume data for currency transactions means that no absolute figures are available to support this, there are numerous surveys (such as this one from the SFEMC) of localized interbank markets where the Yen is reported as the second most traded currency after the Euro. This week we’re looking at the Japanese Yen USD/JPY forex pair, studying both volatility and volume to answer the question “when is the best time to trade the Japanese Yen?”
#YEN TIMING SERIES#
In this weekly series of articles we use simple statistical analysis to try to determine the times of day when a market is most active, and might offer the best opportunities for intraday traders.
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