Is There Volume–Range Predictability in FX? A Clean Multi-Instrument Futures Test

This paper asks whether relative trading volume (RVOL) — session volume scaled by its trailing norm — predicts the intraday price range in foreign-exchange markets, as practitioner folklore claims. Using sixteen years (2010–2026) of clean CME futures data for seven major currencies, it separates the contemporaneous volume–range relationship (Spearman ρ ≈ 0.42–0.54) from the genuinely ex-ante, out-of-session relationship (ρ ≈ 0.10–0.21), using the Asian session — which closes before London opens — as a strictly forward-looking predictor. The predictive signal is weak, concerns range (size) not direction, and adds only a small, economically negligible increment over a HAR realized-volatility baseline out-of-sample (Clark–West significant, but at a low bar given the sample size). A within-instrument test finds the volume measure — trade count vs contract volume — does not matter at session aggregation. An appendix documents how weekend / zero-activity rows in retail spot data can manufacture spurious volume–range predictability. The result is a clean confirmation that volume offers little tradeable forecasting value for FX intraday range.