What FX Historical Data Can You Chart?

In the Historical Analysis Page in Section 1 for the FX asset you can chart any of the following types of historical data (or parameters) for the currency pair you specify in the Underlying column:

Spot

This plots the spot rate on each day in the defined period. You specify which spot rate to use by selecting one of the available spot types from the menu that is displayed after selecting Spot from the Parameter dropdown list.

The available spot types are as follows:

Close

This displays the closing spot rate (i.e., the spot rate recorded at London 10 pm) on each historical date.

High

This displays the highest spot rate recorded on each historical date.

Low

This displays the lowest spot rate recorded on each historical date.

% Spot

This plots the spot rate on each day in the defined period as a percentage of the spot rate recorded on the first day of the specified date range (which is set to 100%). This parameter lets you compare the performance of different spots. You specify which spot rate to use by selecting one of the available spot types from the menu that is displayed after selecting % Spot from the Parameter dropdown list.

Forward

This plots the forward rate (i.e., the price at a specific point in the future) for a certain term on each day in the defined period.

Implied volatility

This plots the mid-market implied volatility at a certain strike for a certain expiry on each day in the defined period. So if you define ATM 1Y, on each date you will see the implied volatility at the ATM strike for 1Y.

For most currency pairs you can choose to use any of the following strikes:

The strike of the ATM volatility

The strike that will give the defined delta for a European vanilla call option

So if you put 23, you will get the strike that gives a 23 delta result for a European vanilla call option.

The strike that gives the defined delta for a European vanilla put option

So if you put 23, you will get the strike that gives a -23 delta result for a European vanilla put option.

A defined strike.

The strike that is the given percentage of the spot on that date.

The strike that is the given percentage of the forward on that date.

However, for currencies not directly quoted in the market, e.g., BRL/CLP, you can only plot the implied volatility using the strike of the ATM volatility.

Risk reversal

This plots the risk reversal at a given strike for a certain expiry on each day in the defined period.

You define the strike as a specific delta in percentage. So if you enter 7, this means the system will plot the result of the excess of the 7 delta call volatility over the 7 delta put volatility.

Butterfly

This plots the butterfly at a certain strike for a certain expiry on each day in the defined period.

You define the strike as a specific delta in percentage. So if you enter 7, this means the system will calculate the value of the butterfly as follows:

(Average of the 7 delta call volatility and the 7 delta put volatility) - ATM volatility

Volatility based on historical spots

This plots the volatility based on historical spot rates on each date in the defined period.

It is a measure of how volatile the defined spot rate has been over the last <n> trading days (which you specify in the Term column). It is an annualized standard deviation of price changes expressed as a percentage. You must also specify the return period, in terms of business days (which you specify in the Frequency column).

You must also choose to calculate the historical volatility based on one of two return types, which you select from the menu that is displayed after you select the Historical Vol of Spot from the Parameter dropdown list. The two return types are as follows:

Close-Close

The return used in the calculation of the historical volatility is determined for a given day according to the ratio of its closing value on that day to the closing value on the previous day (or another day within the last week as specified in the Frequency column).

Low-High

The return used in the calculation of the historical volatility is determined for a given day by taking the ratio of the highest spot rate and the lowest spot rate in the defined return period (where the return period is defined in the Frequency column).

For each time series of historical volatility, you must also specify the:

Frequency

Specifies the return period (in terms of business days).

For example, if you specify, for a close-close chart, a frequency of 1 day, then the calculation of volatility for each day is based on the difference between the closing price on that day and the closing price on the previous business day. If you instead set the frequency to 2 days, then the calculation of volatility for each day will be based on the difference between the closing price on that day and the closing price on the date that is two business days prior to it.

If for a low-high chart you choose a frequency of 0 days, then the calculation is based on the highest and lowest spot rates on the given day only; if you set a frequency of 1 day, the calculation is based on the highest and lowest spot rates on the given day and the day prior to it; if you set the frequency to 2 days, the calculation is based on the highest and lowest spot rates on the given day and the 2 days prior to it, etc.

You can specify frequencies of 0d, 1d, 2d, 3d, 4d or 5d, depending on the return type selected. Which of the frequency settings are available depends on the return type selected. For example, 0d cannot be set for close-close.

Term

Defines the number of samples taken when calculating historical volatility, and is therefore the averaging period. For example, if you specify 1w, each point plotted on the chart will indicate how volatile the defined market data was over the week up to that date; if you specify 1y, each point plotted on the chart will indicate how volatile the defined market data was over the year up to that date. You set the term by selecting the supported values in the dropdown list.

Volatility based on historical forward rates

This plots the volatility based on historical forward rates on each date in the defined period.

It is a measure of how volatile the defined forward rate (which you set using the Expiry dropdown list) has been over the last <n> trading days (which you specify in the Term column). It is an annualized standard deviation of price changes expressed as a percentage.

For each time series of historical volatility, you must also specify the:

Frequency

Specifies the return period (in terms of business days). You can specify frequencies of 1d, 2d, 3d, 4d or 5d. For example, if you specify, a frequency of 1 day, then the calculation of volatility for each day is based on the difference between the forward rate on that day and the forward rate on the previous business day. If you instead set the frequency to 2 days, then the calculation of volatility for each day will be based on the difference between the forward rate on that day and the forward rate on the date that is two business days prior to it.

Term

Defines the number of samples taken when calculating historical volatility, and is therefore the averaging period. For example, if you specify 1w, each point plotted on the chart will indicate how volatile the defined market data was over the week up to that date; if you specify 1y, each point plotted on the chart will indicate how volatile the defined market data was over the year up to that date. You set the term by selecting the supported values in the dropdown list.

Forward points

This plots the forward points (i.e., the difference between the spot rate and the forward rate) for a specific term on each day in the defined period.

Base deposit rates

This plots the deposit rates for the base currency of the given currency pair for a certain term on each day in the defined period.

Term deposit rates

This plots the deposit rates for the term currency of the given currency pair for a certain term on each day in the defined period.