Value FX Option Strategies Here
Inputs: | Currency Pair | USDJPY (Japanese Yen per US Dollar) | | | Payoff Type | COLLAR | | | Maturity | 1M | | | Exercise Date (if no maturity specified) | | (d[d]/m[mm]/y[y[yy]] format) | | Moneyness Type | LEFT-HAND-SIDE DELTA | | | Exercise Price (Strike) or Delta (in %) | 25 | (At-The-Money by default) |
Output:
Revalued at Market Close as of: Tue 25 Oct 2011 FX Option Strategy:USDJPY COLLAR| Currency Pair | USDJPY (Japanese Yen per US Dollar) | | Strikes | 25.0%-LEFT-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 2.34 = JPY 177.86 per USD 100 of Notional Amount | | Option Spot Delta (dValue/dSpot) | USD value-sensitivity (LHS): USD 47.62, JPY value-sensitivity (RHS): USD 49.96, per USD 100 of Notional Amount | | Option Forward Delta (dFwdValue/dFwd) | USD value-sensitivity (LHS): USD 47.64, JPY value-sensitivity (RHS): USD 49.98, per USD 100 of Notional Amount | | Option Gamma (d2Value/dSpot2) | USD value-sensitivity (LHS): -1.16, JPY value-sensitivity (RHS): -0.53, per USD 100 of Notional Amount | | Option Vega (dValue/dVol) | USD -0.0020 = JPY -0.155 per % vol increase per USD 100 of Notional Amount | | Option Theta (dValue/dTime) | USD 0.0 = JPY 0.09 per calendar day per USD 100 of Notional Amount | | Option Vanna (dVega/dSpot) | USD -0.0472 = JPY -3.5885 per USD of Notional Amount | | Option Volga (dVega/dVol) | USD -0.0178 = JPY -1.3573 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 74.1258 per USD of Notional Amount | | Exercise Date | Fri 25 Nov 2011 | | Forward FX Rate | JPY 75.9029 per USD of Notional Amount | | Volatility | 12.0786 % |
Premium and Greeks| Option Value (Premium) | USD 2.86 = JPY 217.25 per USD 100 of Notional Amount | | Option Spot Delta (dValue/dSpot) | USD value-sensitivity (LHS): USD 72.62, JPY value-sensitivity (RHS): USD 75.48, per USD 100 of Notional Amount | | Option Forward Delta (dFwdValue/dFwd) | USD value-sensitivity (LHS): USD 72.65, JPY value-sensitivity (RHS): USD 75.51, per USD 100 of Notional Amount | | Option Gamma (d2Value/dSpot2) | USD value-sensitivity (LHS): 10.79, JPY value-sensitivity (RHS): 11.75, per USD 100 of Notional Amount | | Option Vega (dValue/dVol) | USD 0.0916 = JPY 6.9567 per % vol increase per USD 100 of Notional Amount | | Option Theta (dValue/dTime) | USD -0.01 = JPY -1.22 per calendar day per USD 100 of Notional Amount | | Option Vanna (dVega/dSpot) | USD -0.0224 = JPY -1.7053 per USD of Notional Amount | | Option Volga (dVega/dVol) | USD 0.3432 = JPY 26.0707 per USD of Notional Amount |
Short Component 2:USDJPY CALL| Currency Pair | USDJPY (Japanese Yen per US Dollar) | | Option Type | USD CALL / JPY PUT | | Strike | JPY 77.6876 per USD of Notional Amount | | Exercise Date | Fri 25 Nov 2011 | | Forward FX Rate | JPY 75.9029 per USD of Notional Amount | | Volatility | 11.8113 % |
Premium and Greeks| Option Value (Premium) | USD 0.52 = JPY 39.39 per USD 100 of Notional Amount | | Option Spot Delta (dValue/dSpot) | USD value-sensitivity (LHS): USD 25.0, JPY value-sensitivity (RHS): USD 25.52, per USD 100 of Notional Amount | | Option Forward Delta (dFwdValue/dFwd) | USD value-sensitivity (LHS): USD 25.01, JPY value-sensitivity (RHS): USD 25.53, per USD 100 of Notional Amount | | Option Gamma (d2Value/dSpot2) | USD value-sensitivity (LHS): 11.95, JPY value-sensitivity (RHS): 12.28, per USD 100 of Notional Amount | | Option Vega (dValue/dVol) | USD 0.0936 = JPY 7.1117 per % vol increase per USD 100 of Notional Amount | | Option Theta (dValue/dTime) | USD -0.01 = JPY -1.3 per calendar day per USD 100 of Notional Amount | | Option Vanna (dVega/dSpot) | USD 0.0248 = JPY 1.8832 per USD of Notional Amount | | Option Volga (dVega/dVol) | USD 0.3611 = JPY 27.428 per USD of Notional Amount
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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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