Objective

Identify the seasonal volatility tendencies for GBP/USD using PA data from 2011-2019 In this report we will present during what seasons & specific months does GBP/USD move the most, and the least.

PA Data for each year from 2011-2019

PA Data from 2011-2019 combined

Overview

The PA Data for GBP/USD from 2011-2019 has revealed that:

  • The most volatility occurs during the last months of Q1, Q2, and Q3. More specifically, September, June, and March.

  • September is the most volatile month. Out of the 9 years of data collected for the highest and lowest volatility, September makes up 33.33% of the highest volatility. In other words, September had the highest volatility 3/9 years.

  • Although September offers the highest volatility, June and March are not too far away.

  • The least volatility occurs during Q4.

  • December is the least volatile month. Out of the 9 years of data collected for the highest and lowest volatility, December makes up 66.66% of the lowest volatility. In other words, December had the lowest volatility 6/9 years.

  • Feb, Oct, Nov, and May recorded the lowest volatile month once each. However, Jan, Mar, Apr, June, July, August, and September never recorded as a lowest volatile month.

Conclusion

After analyzing the data, we now have a better understanding of the Seasonal Volatility Tendencies for GBP/USD.

  • When looking for the highest Risk to Reward, entering positions at the end of Q4, specifically September would yield the highest margin.

  • End of Q4 (December), and early of Q1 should be avoided because these months the PA is just consolidating.

Work Cited

link