Value FX Option Strategies Here
Inputs: | Currency Pair | USDJPY (Japanese Yen per US Dollar) | | | Payoff Type | BUTTERFLY | | | Maturity | 1M | | | Exercise Date (if no maturity specified) | | (d[d]/m[mm]/y[y[yy]] format) | | Moneyness Type | RIGHT-HAND-SIDE DELTA | | | Exercise Price (Strike) or Delta (in %) | 10 | (At-The-Money by default) |
Output:
Revalued at Market Close as of: Tue 25 Oct 2011 FX Option Strategy:USDJPY BUTTERFLY| Currency Pair | USDJPY (Japanese Yen per US Dollar) | | Strikes | 10.0%-RIGHT-HAND-SIDE DELTA CALL AND PUT | | Forward FX Rate | JPY 75.9029 per USD of Notional Amount | | Exercise Date | Fri 25 Nov 2011 |
Premium and Greeks| Option Value (Premium) | USD -2.25 = JPY -170.93 per USD 100 of Notional Amount | | Option Spot Delta (dValue/dSpot) | USD value-sensitivity (LHS): USD 2.25, JPY value-sensitivity (RHS): USD 0.0, per USD 100 of Notional Amount | | Option Forward Delta (dFwdValue/dFwd) | USD value-sensitivity (LHS): USD 2.25, JPY value-sensitivity (RHS): USD 0.0, per USD 100 of Notional Amount | | Option Gamma (d2Value/dSpot2) | USD value-sensitivity (LHS): -20.25, JPY value-sensitivity (RHS): -20.22, per USD 100 of Notional Amount | | Option Vega (dValue/dVol) | USD -0.1301 = JPY -9.8892 per % vol increase per USD 100 of Notional Amount | | Option Theta (dValue/dTime) | USD 0.02 = JPY 1.52 per calendar day per USD 100 of Notional Amount | | Option Vanna (dVega/dSpot) | USD -0.0011 = JPY -0.0887 per USD of Notional Amount | | Option Volga (dVega/dVol) | USD 1.239 = JPY 94.1146 per USD of Notional Amount |
Long Component 1:USDJPY CALL| Currency Pair | USDJPY (Japanese Yen per US Dollar) | | Option Type | USD CALL / JPY PUT | | Strike | JPY 79.8552 per USD of Notional Amount | | Exercise Date | Fri 25 Nov 2011 | | Forward FX Rate | JPY 75.9029 per USD of Notional Amount | | Volatility | 13.3894 % |
Premium and Greeks| Option Value (Premium) | USD 0.18 = JPY 13.81 per USD 100 of Notional Amount | | Option Spot Delta (dValue/dSpot) | USD value-sensitivity (LHS): USD 9.82, JPY value-sensitivity (RHS): USD 10.0, per USD 100 of Notional Amount | | Option Forward Delta (dFwdValue/dFwd) | USD value-sensitivity (LHS): USD 9.82, JPY value-sensitivity (RHS): USD 10.0, per USD 100 of Notional Amount | | Option Gamma (d2Value/dSpot2) | USD value-sensitivity (LHS): 5.79, JPY value-sensitivity (RHS): 5.92, per USD 100 of Notional Amount | | Option Vega (dValue/dVol) | USD 0.0512 = JPY 3.8857 per % vol increase per USD 100 of Notional Amount | | Option Theta (dValue/dTime) | USD -0.01 = JPY -0.82 per calendar day per USD 100 of Notional Amount | | Option Vanna (dVega/dSpot) | USD 0.0228 = JPY 1.731 per USD of Notional Amount | | Option Volga (dVega/dVol) | USD 0.6464 = JPY 49.0964 per USD of Notional Amount |
Long Component 2:USDJPY PUT| Currency Pair | USDJPY (Japanese Yen per US Dollar) | | Option Type | USD PUT / JPY CALL | | Strike | JPY 72.1676 per USD of Notional Amount | | Exercise Date | Fri 25 Nov 2011 | | Forward FX Rate | JPY 75.9029 per USD of Notional Amount | | Volatility | 13.7283 % |
Premium and Greeks| Option Value (Premium) | USD 0.19 = JPY 14.63 per USD 100 of Notional Amount | | Option Spot Delta (dValue/dSpot) | USD value-sensitivity (LHS): USD -10.19, JPY value-sensitivity (RHS): USD -10.0, per USD 100 of Notional Amount | | Option Forward Delta (dFwdValue/dFwd) | USD value-sensitivity (LHS): USD -10.19, JPY value-sensitivity (RHS): USD -10.0, per USD 100 of Notional Amount | | Option Gamma (d2Value/dSpot2) | USD value-sensitivity (LHS): 5.91, JPY value-sensitivity (RHS): 5.77, per USD 100 of Notional Amount | | Option Vega (dValue/dVol) | USD 0.0512 = JPY 3.8857 per % vol increase per USD 100 of Notional Amount | | Option Theta (dValue/dTime) | USD -0.01 = JPY -0.87 per calendar day per USD 100 of Notional Amount | | Option Vanna (dVega/dSpot) | USD -0.0208 = JPY -1.5871 per USD of Notional Amount | | Option Volga (dVega/dVol) | USD 0.5927 = JPY 45.0182 per USD of Notional Amount |
Short Component 3:USDJPY CALL| Currency Pair | USDJPY (Japanese Yen per US Dollar) | | Option Type | USD CALL / JPY PUT | | Strike | JPY 75.944 per USD of Notional Amount | | Exercise Date | Fri 25 Nov 2011 | | Forward FX Rate | JPY 75.9029 per USD of Notional Amount | | Volatility | 11.289 % |
Premium and Greeks| Option Value (Premium) | USD 1.29 = JPY 97.63 per USD 100 of Notional Amount | | Option Spot Delta (dValue/dSpot) | USD value-sensitivity (LHS): USD 48.69, JPY value-sensitivity (RHS): USD 49.98, per USD 100 of Notional Amount | | Option Forward Delta (dFwdValue/dFwd) | USD value-sensitivity (LHS): USD 48.71, JPY value-sensitivity (RHS): USD 50.0, per USD 100 of Notional Amount | | Option Gamma (d2Value/dSpot2) | USD value-sensitivity (LHS): 15.32, JPY value-sensitivity (RHS): 15.96, per USD 100 of Notional Amount | | Option Vega (dValue/dVol) | USD 0.1163 = JPY 8.8303 per % vol increase per USD 100 of Notional Amount | | Option Theta (dValue/dTime) | USD -0.02 = JPY -1.52 per calendar day per USD 100 of Notional Amount | | Option Vanna (dVega/dSpot) | USD 0.0015 = JPY 0.1163 per USD of Notional Amount | | Option Volga (dVega/dVol) | USD 0.0 = JPY 0.0 per USD of Notional Amount |
Short Component 4:USDJPY PUT| Currency Pair | USDJPY (Japanese Yen per US Dollar) | | Option Type | USD PUT / JPY CALL | | Strike | JPY 75.944 per USD of Notional Amount | | Exercise Date | Fri 25 Nov 2011 | | Forward FX Rate | JPY 75.9029 per USD of Notional Amount | | Volatility | 11.289 % |
Premium and Greeks| Option Value (Premium) | USD 1.34 = JPY 101.74 per USD 100 of Notional Amount | | Option Spot Delta (dValue/dSpot) | USD value-sensitivity (LHS): USD -51.31, JPY value-sensitivity (RHS): USD -49.97, per USD 100 of Notional Amount | | Option Forward Delta (dFwdValue/dFwd) | USD value-sensitivity (LHS): USD -51.34, JPY value-sensitivity (RHS): USD -50.0, per USD 100 of Notional Amount | | Option Gamma (d2Value/dSpot2) | USD value-sensitivity (LHS): 16.63, JPY value-sensitivity (RHS): 15.96, per USD 100 of Notional Amount | | Option Vega (dValue/dVol) | USD 0.1163 = JPY 8.8303 per % vol increase per USD 100 of Notional Amount | | Option Theta (dValue/dTime) | USD -0.02 = JPY -1.69 per calendar day per USD 100 of Notional Amount | | Option Vanna (dVega/dSpot) | USD 0.0015 = JPY 0.1163 per USD of Notional Amount | | Option Volga (dVega/dVol) | USD 0.0 = JPY 0.0 per USD of Notional Amount |
The inventory of an options' trader is always denominated in terms of the Greeks. These quantities express the risk to which the trader's portfolio of options is exposed. For the Wikipedia explanation of Greeks, please Click Here
(c) Reference Derivatives 2011 |
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