Derivative Engines - Options Handbook






Please Select Currency Pair :

Implied Volatility of a currency option changes with both time to maturity and moneyness. Derivative Engines gets the implied volatility quotations for several time to maturity levels. The volatility levels which are quoted in the market is for ATM, 25 Delta Call and 25 Delta Put levels. For each time to maturity level Derivative Engines generates the whole volatility curve by using Vanna Volga Method. The volatility curve changing with the moneyness level for a specific time to expiry level is called volatility smile.

The table below shows the implied volatility matrix for different time to expiry and moneyness levels at the selected currency pair.


PUTATMCALL
Expiry10 Delta15 Delta25 Delta35 Delta
1 day6.726.556.366.27
1 week9.539.268.928.72
15 days9.69.328.948.7
1 month10.3610.019.519.19
2 months11.4711.0110.39.84
3 months12.5211.9611.0410.44
6 months14.2913.5912.3611.55
1 year15.7514.9313.4112.39
50 Delta
6.23
8.57
8.48
8.89
9.43
9.9
10.85
11.56
35 Delta25 Delta15 Delta10 Delta
6.276.366.556.72
8.528.558.678.82
8.358.328.358.42
8.718.658.668.73
9.189.119.139.23
9.589.499.529.66
10.4510.3510.4410.68
11.11111.1811.55


Derivative Engines is a Real Time option calculator. Please see the online option pricers below.

Options Structured Products
Vanilla Options Dual Currency Deposit
Multiple Options Portfolio Asymetric Forward
Knock In Barrier Options Zero Cost Collar
Knock Out Barrier Options Seagull (3 Way Collar)