Well I was actually going to post my own seasonality study although calculated completely differently then above. Its still quite redundant. Although I will show my seasonal volatility study that goes along with the price trend. This uses Euro/Usd data from 1999-2012. I am calculating the % change of each month for the volatility study, also introducing the max and min volatility values as well to understand the bounds as well as the average itself. Just because richard brought out his R skills, I should I would use it to. I am such a sheep. It is the most powerful stats package around. Although most of this kind of work can be completed in excel, as it is not very demanding. But playing with R is fun
What did I take away from this:
Well the range of volatility from min to max is huge, i mean sometimes we explode. Most of this huge upper bounds comes from the last 2 years due to the euro crisis etc. The min values are fairly stable. But I think most of the information can be garnered from the Average volatility line (Black). Most people claim that the “summer doldrums” are here and its time to take a break and go on vacation. Well there is some merit to that, as June seems to be the least volatile month of the year, both in the average and max category. Although July and August are about average, on par with April, and February. May is on average the most volatile month, instead of the winter time. Although Jan, September and December are still up there. So to take a queue from Mythbusters, I would say the summer doldrums is, plausible. Why because you do have the lowest volatility of a single month of the year, but the surrounding months are not nearly as low as to be completely out of line with the rest of the year. Taking summer as June, July and August, compare that to 3 month period of February, March and April. The numbers are remarkably similar, but you don’t have the spring doldrums. So can summer be a low volatility time for the Euro/Usd enough to stop trading for an entire season, possibly. But on average its comparable to several other months of the year where people would consider that level of volatility able to be traded.