FX Volatility Intelligence
FX Volatility Monitor — G10 Spot & Realized Vol
Live G10 spot ladder with realized volatility cones, spot-vol beta, and percentile context.
G10 Spot & Realized Volatility
Click a row to update charts below
| Pair | Spot | Chg% | 5D RVol | 20D RVol | 60D RVol | 252D RVol | 20D Pctile (vs 1Y) |
|---|---|---|---|---|---|---|---|
| EURUSD | 1.1375 | -0.173% | 2.99% | 3.71% | 4.37% | 5.80% | Low 10% |
| GBPUSD | 1.3302 | -0.372% | 5.06% | 6.24% | 6.20% | 6.69% | Fair 44% |
| USDJPY | 163.8080 | +0.120% | 4.36% | 4.45% | 3.55% | 7.33% | Low 18% |
| USDCHF | 0.8193 | +0.377% | 2.84% | 5.79% | 5.80% | 7.05% | Low 18% |
| AUDUSD | 0.6977 | -0.250% | 4.49% | 5.55% | 7.08% | 8.38% | Low 12% |
| USDCAD | 1.4107 | +0.149% | 2.33% | 3.36% | 3.36% | 4.18% | Low 19% |
| NZDUSD | 0.5774 | -0.417% | 6.73% | 6.98% | 8.36% | 8.74% | Low 25% |
| EURGBP | 0.8548 | +0.164% | 2.44% | 3.86% | 3.43% | 3.56% | High 73% |
| EURJPY | 186.2740 | -0.085% | 2.48% | 4.12% | 4.08% | 5.67% | Low 13% |
| EURCHF | 0.9317 | +0.173% | 1.61% | 3.10% | 3.03% | 3.64% | Fair 32% |
| EURAUD | 1.6305 | +0.085% | 2.84% | 3.28% | 4.55% | 5.94% | Low 0% |
| EURCAD | 1.6042 | -0.043% | 2.87% | 3.42% | 3.73% | 4.70% | Low 8% |
| EURNZD | 1.9699 | +0.280% | 4.31% | 4.92% | 5.77% | 5.84% | Low 27% |
| GBPJPY | 217.8960 | -0.247% | 2.36% | 5.55% | 5.42% | 6.28% | Fair 36% |
| GBPCHF | 1.0898 | +0.009% | 2.48% | 3.53% | 3.95% | 4.87% | Low 15% |
| GBPAUD | 1.9073 | -0.069% | 3.05% | 4.67% | 5.25% | 5.76% | Low 29% |
| GBPCAD | 1.8764 | -0.211% | 4.31% | 5.82% | 5.34% | 5.52% | High 70% |
| GBPNZD | 2.3043 | +0.079% | 2.15% | 4.85% | 6.20% | 5.53% | Fair 33% |
| AUDJPY | 114.2360 | -0.170% | 4.45% | 5.76% | 6.60% | 8.34% | Low 12% |
| AUDCAD | 0.9838 | -0.138% | 5.14% | 5.24% | 6.13% | 6.58% | Fair 42% |
| AUDCHF | 0.5713 | +0.084% | 2.35% | 3.95% | 4.88% | 7.13% | Low 0% |
| AUDNZD | 1.2080 | +0.144% | 3.31% | 4.54% | 5.17% | 4.53% | Fair 64% |
| CADJPY | 116.1100 | -0.021% | 3.70% | 4.77% | 4.42% | 6.80% | Low 19% |
| CADCHF | 0.5807 | +0.221% | 2.89% | 4.65% | 4.95% | 5.47% | Low 18% |
| CHFJPY | 199.9050 | -0.254% | 3.06% | 4.77% | 4.81% | 6.27% | Low 12% |
| NZDJPY | 94.5510 | -0.314% | 3.87% | 6.43% | 7.51% | 8.15% | Low 12% |
| NZDCAD | 0.8143 | -0.272% | 6.40% | 6.08% | 7.11% | 6.86% | Fair 46% |
| NZDCHF | 0.4729 | -0.053% | 4.15% | 4.80% | 5.63% | 6.69% | Low 12% |
| USDNOK | 9.7007 | +1.302% | 11.70% | 7.97% | 8.65% | 8.56% | Fair 50% |
| USDSEK | 9.7255 | +0.513% | 9.27% | 7.15% | 8.22% | 8.95% | Low 27% |
EURUSD — 20D Realized Vol vs Cone
Gold line = rolling 20D realized vol. Cone = percentile bands (p10/p25/p75/p90) of that same vol over full history. Line above p75 = vol historically elevated; below p25 = vol cheap.
EURUSD — Spot-Vol Beta
Rolling 20D correlation between daily spot returns and changes in 20D realized vol
EURUSD Spot (1Y)
Daily close — visual context for vol regime
Daily Return Distribution (1Y)
Histogram of daily log returns. Tails beyond ±2σ coloured red — shows fat-tail frequency. μ=-0.008%, σ=0.365%.
EURUSD Realized Vol Term Structure
Annualized RVol across lookback horizons. Rising left-to-right = vol rising into the short end (regime shift up). Falling = vol compression, wings cheap. Compare to the current 20D percentile to judge rich/cheap.
About the FX volatility monitor
The monitor tracks realized volatility across the G10 currency pairs — EURUSD, GBPUSD, USDJPY, AUDUSD and the rest of the majors — computed from daily spot history over 5, 20, 60 and 252-day windows. A volatility cone places each pair's current vol against its own multi-year distribution, so you can see at a glance whether the pair is trading in the calm, normal, or stressed part of its historical range.
For FX options traders, realized vol is the anchor for judging whether implied vol is cheap or rich: owning volatility when realized percentiles are low and implieds are lower still, or selling it when the market prices more movement than the pair actually delivers. The spot-vol beta panel shows how volatility responds to direction — the classic asymmetry where vol bids when a currency sells off sharply, which is what risk-reversal skew prices.
Frequently asked questions
What is realized volatility in FX?
Realized (historical) volatility measures how much a currency pair actually moved over a past window, annualized from daily log returns. A 20-day realized vol of 8% means the pair's recent daily moves, scaled to a year, amount to roughly 8%. It is backward-looking, unlike implied volatility, which is the market's forward-looking price of risk embedded in option premiums.
What is a volatility cone?
A volatility cone plots the historical percentiles of realized volatility across different measurement windows. It shows whether current volatility is low or high relative to its own history — a common first check when deciding whether FX options look cheap or expensive.
What is spot-vol beta?
Spot-vol beta is the rolling relationship between a pair's spot returns and changes in its volatility. In many USD pairs, volatility rises when spot moves sharply in the "fear" direction — that asymmetry is the underlying driver of risk-reversal skew in the FX options market.
Realized vol computed from daily FX spot history (Twelve Data, with yfinance and FRED fallback). Carry from FRED OECD MEI 3M interbank rates. Positioning from CFTC Traders in Financial Futures (TFF) — free weekly data. Implied vol surface requires user-supplied OTC quotes.
