FX Volatility Intelligence
FX Volatility Regime Classifier
Calm, event risk, or sustained stress — each G10 pair classified from its realized vol dynamics.
Short-term vol well within normal range. 5D/60D ratio < 1.3 and below 70th percentile.
Sharp short-term vol spike (5D/60D ratio > 1.8). Likely transient — event-driven, mean-reverting tail.
5D/60D ratio elevated (>1.3) AND 20D vol above 70th percentile. Risk of persistent elevated vol regime.
EURUSD — Short/Long Vol Ratio (5D / 60D)
Above 1.8 = Event Risk regime. Between 1.3–1.8 with high vol = Sustained Stress.
Regime = Event Risk when 5D/60D vol ratio >1.8. Sustained Stress when ratio >1.3 AND 20D vol >70th percentile. Otherwise Calm. No implied vol data used (free-data only).
EURUSD 5-day over 60-day realized-vol ratio. 5D/60D ratio (daily): Latest: 0.68 (07-28) | Range: 0.12 to 2.30 | Trend: falling.5D vs 60D Realized Vol (absolute levels)
Shows whether the regime shift is driven by 5D spiking, 60D collapsing, or both — ratio alone hides this.
About the regime classifier
The classifier compares short-window realized volatility against the longer-run level for each G10 pair and maps the ratio to a regime: Calm (short-term vol below trend — carry-friendly conditions), Event Risk (short-term vol spiking above trend), or Sustained Stress (elevated vol that persists). A historical chart shows how the ratio has evolved, so you can see whether the current reading is a blip or a regime change.
Regime matters for how FX strategies behave: carry trades and short-vol positions earn steadily in calm regimes and lose abruptly in stressed ones, while long-vol and momentum approaches need the opposite backdrop. Knowing which regime a pair is in is a sizing input as much as a signal.
Frequently asked questions
What is a volatility regime?
A volatility regime is a persistent state of market behavior — calm, transitional, or stressed — rather than a single vol number. Markets tend to stay in a regime for a while and then switch quickly, which is why a ratio of short-term to long-term realized vol is a useful classifier: it detects the switch instead of averaging through it.
Why do FX vol regimes matter for the carry trade?
The FX carry trade — long high-yield currencies funded in low-yield ones — earns its rate differential in calm regimes and gives it back in vol spikes, when crowded carry positions unwind together. Regime classification is a standard risk overlay: full carry exposure in Calm, reduced or hedged exposure when the regime turns.
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.
