What's the worst case scenario for euro? Estimating EUR/USD's 50% odds scenario

The Volatility Markets Pocket Risk Department uses statistical methods to estimate a security's worst case scenario. This article will address the worst case scenario price and payout for Euro EURUSD for the next 1Y.

Executive summary

• The last spot price was € 0.9875.

• Over the past 20 days, the high was € 1.0152 and the low was €0.9831.

• Over the past 20 days, historical volatility performed at 13.4849 % This roughly translates into an expectation of a 0.8428% move in price per day.

• If markets remain as volatile as they have been, we are 95% sure that the price won't trade higher to the €1.2769 level within the next 1Y.

• If markets remain as volatile as they have been, we are 95% sure that the price won't trade lower to the €0.6981 level within the next 1Y.

• If markets remain as volatile as they have been, we are 95% sure that the price won't make or lose more than 29.3063% within the next 1Y.

• The largest drawdown in the dataset was -1.5134%.

• The largest up day in the dataset was 1.3771%.

Market skew

• The largest drawdown in the dataset was -1.5134%.

• The largest up day in the dataset was 1.3771%.

Worst case scenario price

• If markets remain as volatile as they have been, we are 95% sure that the price won't trade higher to the €1.2769 level within the next 1Y.

• If markets remain as volatile as they have been, we are 95% sure that the price won't trade lower to the €0.6981 level within the next 1Y.

• If markets remain as volatile as they have been, we are 95% sure that the price won't make or lose more than 29.3063% within the next 1Y.

Worst case scenario payout

If markets remain as volatile as they have been, we are 95% sure that the price won't make or lose more than 29.3063% within the next 1Y