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September 10, 2020

CME Launches FX Options Vol Tool

CME Group has launched a new FX Options Vol Converter tool, which prices listed FX options liquidity in over-the-counter (OTC) terms. This helps FX traders to more monitor price relationships in OTC and listed markets and make more informed decisions about trading strategies.

The tool takes the price data that is already functionally equivalent to OTC options, with alignments in style, expiration time, and underlying price convergence and creates a volatility grid by tenor and deltas for comparison purposes.

"Our new FX Options Vol Converter calculates and converts our listed FX options premiums, fixed strike data, rules, and formats into an OTC-equivalent volatility surface, in OTC standard tenors, deltas, and quote conventions – creating comparable pricing across major options pairs," said Paul Houston, Managing Director, Global Head of FX products at CME Group. "Traders can quickly act upon a market opportunity with a drilldown showing the product code, reference premium price, volatility, delta and futures value to help identify their trading opportunity."


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