Currency Volatility Index (CVI)

This Currency Volatility Index (CVI) indicator aggregates the realized volatility of the eight “major” FX pairs into a single, tradable series—much like an FX-version of the VIX. Here’s what it does step by step:

Inputs & Settings
• Volatility Length (default 20 days): the lookback over which daily log-returns’ standard deviation is computed.
• Data Timeframe (default Daily): the resolution at which price data is fetched for each pair.
• Smoothing Length (default 5): the period of a simple moving average applied to the raw, averaged volatility (in %).

Pair-by-Pair Volatility Calculation
For each hard-coded symbol (EURUSD, GBPUSD, USDJPY, USDCHF, AUDUSD, USDCAD, NZDUSD, EURGBP):

1. Pull the series of daily closes.
   
2. Compute the series of log-returns: ln(today’s close / yesterday’s close).
   
3. Calculate the standard deviation of those log-returns over your lookback.
   
4. Annualize it (×√252) to convert daily volatility into an annualized figure.
   

Aggregation

The eight annualized volatilities are averaged (equal weights).
The resulting number is then multiplied by 100 to express it as a percentage.


Smoothing & Plotting

A simple moving average over the aggregated volatility smooths out spikes.
The smoothed CVI (%) is plotted as a standalone line below price charts.


Visualization Aids

A small table in the top-right corner shows each pair’s current volatility in percent.
A dynamic label on the final bar prints the latest CVI value directly on the chart.


Why use it?

Gives a one-stop measure of overall FX market turbulence.
Helps you compare “quiet” vs. “volatile” regimes across currencies.