Rollover spreads, pair by pair

[Fairman]

Rollover spreads, pair by pair

Not every pair suffers equally around 5pm New York. Rough picture from watching quotes over a long time:

EURUSD, USDJPY: spread jumps from 0.1-0.2 to somewhere around 1-3 pips, back to normal in 2-5 minutes.

GBPUSD: wider spike, usually 3-6 pips, and a slower recovery.

AUD and NZD crosses: 8-20 pips is common, and some stay wide for 20+ minutes.

USDZAR, USDTRY, USDMXN: can sit at triple digit spreads for a long stretch.

The really sneaky part is what the spread does to resting orders. A stop sitting above a short entry fires the moment the ask jumps, even though the bid chart shows nothing at all. The trade closes at a loss, and the chart gives no explanation.

So the useful exercise is pulling the broker's tick history for the last month and measuring the real widening window on each pair traded. A cheap spreadsheet job, and the numbers tend to surprise.

A rough way to build the table: pull a week of tick history for each pair, slice the window from 4:55pm to 6:00pm New York into five minute pieces, and record the median and the maximum spread in each slice. Most pairs peak right at 5pm, but the shape afterwards differs. Some drop back in a smooth curve. Others show a second hump around half past, when the next wave of providers reconnects.

That second hump catches people out. The spread looks settled, the all clear seems to have sounded, and an entry goes in just as the quote widens again. A pair that has shown the pattern in the data deserves an extra ten minutes of patience.

The size of the spike can also depend on the weekday, with some brokers showing an uglier Wednesday because of the triple swap booking.

Which pair has the worst rollover on your platform, and how long does it take to settle?