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FX volatility and correlation

31 pairs at the ECB reference rates of 29 October 2026 · 15-currency correlation matrix · Fed dollar index and Treasury yields
How this is computed

Kresmion computes every pair from the ECB euro reference rates of the same day, realised volatility as the annualised standard deviation of daily log changes over 21, 63 and 252 published days, its percentile against the pair's daily one-month readings over the past year, and Pearson correlations of daily changes on the days both series published. Cross-asset correlations use the Federal Reserve's H.10 noon New York rates against the Board's nominal Broad dollar index and US Treasury constant-maturity yields.

  • Realised volatility = the standard deviation of daily log changes over the last 21 (1M), 63 (3M) and 252 (1Y) published days, annualised (times the square root of 252). Every pair uses the ECB euro reference rates of the same day; a pair without the euro is the ratio of its two euro rates. These are daily fixings, so the figures describe close-to-close moves between fixings, not intraday ranges, and they are not option-implied volatility.
  • 1Y pctl ranks today's 1M reading among the pair's daily 1M readings over the past 252 published days (it needs 180). Top decile means the last month was among the most volatile months of the year for that pair; it says nothing about the months ahead.
  • Correlation = Pearson correlation of daily changes on the days both series published, over the last 21, 63 or 252 such days (it needs 15, 45 or 180). Levels are matched by date first, so both legs of every change cover the same interval; a step across a gap of more than a week is left out. In the matrix each currency is its value in US dollars, so most G10 pairs read positive: they share the dollar's moves.
  • The cross-asset columns use the Federal Reserve's H.10 noon New York rates, the same clock as the Board's Broad dollar index, rather than the ECB's 14:10 CET fixing; Treasury yields are end-of-day H.15 constant-maturity yields, so a few hours separate the two legs. H.10 is released weekly, so this panel can trail the matrix by up to a week.
  • Measurements of what happened, not forecasts and not trading advice.

On 29 October 2026, at the ECB reference rates, EUR/USD one-month realised volatility was 5.2% annualised, the 55th percentile of its daily readings over the past year. The highest one-month volatility among 31 tracked pairs was USD/BRL at 43.2%. Over three months of daily changes against the US dollar, the euro and the pound moved most closely together (correlation +0.82).

As of . Sources: ECB euro foreign exchange reference rates (EXR), Federal Reserve H.10 Foreign Exchange Rates, Federal Reserve H.15 Selected Interest Rates (via FRED). Method and limitations.

EUR/USD realised volatility

1M vol
5.2%
annualised, last 21 days
3M vol
4.4%
last 63 days
1Y vol
5.4%
last 252 days
1M in its past year
55th pctl
of the daily 1M readings
1M / 3M
1.18x
1M above 3M
Past-year 1M range
3.4 to 8.3%
2Y high 13.9% on 25 April 2025
5%10%Oct 2024May 2025Oct 2025May 2026Oct 2026
1M realised vol (21 days)3M realised vol (63 days)

Annualised, from the daily ECB fixings; not option-implied volatility. Hover, tap or use the arrow keys to read a day.

Is each pair's volatility high or low against its own past year?

31 pairs, annualised realised volatility at the ECB reference rates of 29 October 2026 · click a row to chart it
31 of 31 pairs
Annualised realised volatility of each currency pair over one month, three months and one year, the one-month reading against its range over the past year, its percentile, and the one-month to three-month ratio
Past-year 1M range, 0-45%
EUR/USD5.255th
USD/JPY4.210thbottom decile
GBP/USD4.516th
USD/CHF5.926th
AUD/USD7.354th
NZD/USD8.163rd
USD/CAD3.732nd
EUR/GBP3.147th
EUR/JPY5.847th
EUR/CHF7.293rdtop decile
GBP/JPY5.740th
AUD/JPY9.246th
EUR/AUD7.284th
EUR/SEK3.722nd
EUR/NOK4.621st
AUD/NZD8.299thtop decile
USD/CNY0.60thbottom decile
USD/INR5.259th
USD/KRW7.918th
USD/MXN11.492ndtop decile
USD/BRL43.2100thtop decile
USD/ZAR9.842nd
USD/TRY1.555th
USD/IDR3.934th
USD/PLN7.660th
USD/HUF9.651st
USD/CZK6.664th
USD/SGD2.23rdbottom decile
USD/HKD0.447th
USD/THB4.35thbottom decile
USD/ILS12.397thtop decile

Bar = the lowest to highest daily 1M reading over the past year; marker = today's 1M reading, both on one scale for every pair. 1Y pctl = where today's reading sits in that year. 1M / 3M above 1 means the last month moved more than the last quarter.

Which currencies move together against the dollar?

daily changes over the last 63 days to 29 October 2026, ECB reference rates
Correlation of daily changes against the US dollar between each pair of currencies over the last 63 common days
EURJPYGBPCHFAUDNZDCADSEKNOKCNYMXNBRLZARINRKRW
EUR1.42.82.55.52.61.55.75.63.44.49-.01.69.24.27
JPY.421.35.44.20.35.46.33.32.06-.05.13.16.23.34
GBP.82.351.53.57.67.56.71.68.44.41.09.60.32.41
CHF.55.44.531.29.61.63.51.47.47.06-.02.15.17.34
AUD.52.20.57.291.59.47.58.69.38.53.15.64.19.30
NZD.61.35.67.61.591.66.65.51.42.28.06.42.21.34
CAD.55.46.56.63.47.661.63.62.51.12.13.25.19.21
SEK.75.33.71.51.58.65.631.66.36.44.13.65.26.31
NOK.63.32.68.47.69.51.62.661.34.51.14.42.20.35
CNY.44.06.44.47.38.42.51.36.341.21-.02.29.07.09
MXN.49-.05.41.06.53.28.12.44.51.211-.06.56.04.16
BRL-.01.13.09-.02.15.06.13.13.14-.02-.061.19.16.08
ZAR.69.16.60.15.64.42.25.65.42.29.56.191.38.27
INR.24.23.32.17.19.21.19.26.20.07.04.16.381.23
KRW.27.34.41.34.30.34.21.31.35.09.16.08.27.231
Green: the two moved the same way on the same days; red: opposite ways. Grey = |r| under 0.2. Each currency is its value in US dollars. Hover a tile to read it (tap on a phone); click it for that pairing's history.

How does each currency track the dollar index and US yields?

same 3M window, Federal Reserve H.10 noon New York rates to 23 October 2026 · weekly release · click a row for its dollar-index history
15 of 15 currencies
Correlation of each currency's daily change against the US dollar with the Fed Broad dollar index and US Treasury yield changes
EUR-0.91-0.13-0.18
JPY-0.63-0.29-0.27
GBP-0.83-0.07-0.11
CHF-0.72-0.32-0.35
AUD-0.73-0.06-0.12
NZD-0.79-0.14-0.17
CAD-0.77-0.25-0.16
SEK-0.87-0.27-0.26
NOK-0.72-0.13-0.08
CNY-0.42-0.07-0.09
MXN-0.80-0.09-0.15
BRL-0.42+0.04+0.05
ZAR-0.80-0.22-0.28
INR-0.20-0.08-0.10
KRW-0.65-0.19-0.20
Goldnot trackedKresmion holds gold only as a futures price from a vendor that is not cleared for this section.WTI crude oilnot trackedKresmion holds crude oil only as a futures price from a vendor that is not cleared for this section.S&P 500not trackedthe index is S&P Dow Jones Indices data; Kresmion holds no licence-cleared daily series for it.A currency rising against the dollar while the dollar index falls shows red. Yields: daily change in percentage points.

How has a pairing's correlation moved?

click a matrix tile or a pairing to chart it here

Every tile of the matrix opens its own history: how closely the two currencies have moved together, day by day, over the last two years.

How has the euro's link to the dollar index changed?

rolling 3M correlation, last two years, Federal Reserve H.10
-1-0.50+0.5+1Oct 2024Apr 2025Oct 2025Apr 2026Oct 2026
EUR in US dollars vs the Fed Broad dollar index, last 63 common days · latest -0.91 on 23 October 2026

Which pairings are the tightest and loosest?

3M window, from the matrix · click one to chart it
Most in step
Least in step
Source: ECB statistics (euro foreign exchange reference rates, dataset EXR). The ECB reference rates may be obtained free of charge through the ECB website (data.ecb.europa.eu). Modified: crosses between two non-euro currencies, percentage changes, z-scores and currency strength scores are computed by Kresmion from the published rates. The ECB publishes its reference rates for information purposes only. data.ecb.europa.eu On this page Kresmion also computes realised volatility, its percentile and the correlations of daily changes from the published rates.Source: Board of Governors of the Federal Reserve System, H.10 Foreign Exchange Rates (noon buying rates in New York) and the nominal Broad, AFE and EME dollar indexes. Public domain. federalreserve.govUS Treasury yields: Board of Governors of the Federal Reserve System, H.15 Selected Interest Rates (market yield on US Treasury securities at constant maturity), retrieved from FRED, Federal Reserve Bank of St. Louis. This product uses the FRED® API but is not endorsed or certified by the Federal Reserve Bank of St. Louis.

Cite this data

Kresmion computes every pair from the ECB euro reference rates of the same day, realised volatility as the annualised standard deviation of daily log changes over 21, 63 and 252 published days, its percentile against the pair's daily one-month readings over the past year, and Pearson correlations of daily changes on the days both series published. Cross-asset correlations use the Federal Reserve's H.10 noon New York rates against the Board's nominal Broad dollar index and US Treasury constant-maturity yields.

Upstream: ECB euro foreign exchange reference rates (EXR), Federal Reserve H.10 Foreign Exchange Rates, Federal Reserve H.15 Selected Interest Rates (via FRED)

Kresmion, "Kresmion FX Volatility and Correlation", data as of 2026-10-29, https://kresmion.com/markets/forex/volatility. Upstream data: ECB euro foreign exchange reference rates (EXR); Federal Reserve H.10 Foreign Exchange Rates; Federal Reserve H.15 Selected Interest Rates (via FRED).

Link to this data (HTML):

<a href="https://kresmion.com/markets/forex/volatility">Kresmion FX Volatility and Correlation (Kresmion)</a>