FX D-Delta Strangle Example Pricing

Value FX Option Strategies Here

Inputs
:

 Currency Pair USDJPY (Japanese Yen per US Dollar) 
 Payoff Type STRADDLE/STRANGLE 
 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 STRANGLE

Currency PairUSDJPY (Japanese Yen per US Dollar)
Strikes25.0%-LEFT-HAND-SIDE DELTA CALL AND PUT
Forward FX RateJPY 75.9029 per USD of Notional Amount
Exercise DateFri 25 Nov 2011

Premium and Greeks

Option Value (Premium)USD 1.04 = JPY 78.88 per USD 100 of Notional Amount
Option Spot Delta (dValue/dSpot)USD value-sensitivity (LHS): USD 0.0, JPY value-sensitivity (RHS): USD 1.04, per USD 100 of Notional Amount
Option Forward Delta (dFwdValue/dFwd)USD value-sensitivity (LHS): USD 0.0, JPY value-sensitivity (RHS): USD 1.04, per USD 100 of Notional Amount
Option Gamma (d2Value/dSpot2)USD value-sensitivity (LHS): 24.03, JPY value-sensitivity (RHS): 24.03, per USD 100 of Notional Amount
Option Vega (dValue/dVol)USD 0.1852 = JPY 14.0685 per % vol increase per USD 100 of Notional Amount
Option Theta (dValue/dTime)USD -0.03 = JPY -2.7 per calendar day per USD 100 of Notional Amount
Option Vanna (dVega/dSpot)USD 0.0023 = JPY 0.1779 per USD of Notional Amount
Option Volga (dVega/dVol)USD 0.7043 = JPY 53.4986 per USD of Notional Amount

Long Component 1:

USDJPY CALL

Currency PairUSDJPY (Japanese Yen per US Dollar)
Option TypeUSD CALL / JPY PUT
StrikeJPY 77.6876 per USD of Notional Amount
Exercise DateFri 25 Nov 2011
Forward FX RateJPY 75.9029 per USD of Notional Amount
Volatility11.8113 %

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

Long Component 2:

USDJPY PUT

Currency PairUSDJPY (Japanese Yen per US Dollar)
Option TypeUSD PUT / JPY CALL
StrikeJPY 74.1258 per USD of Notional Amount
Exercise DateFri 25 Nov 2011
Forward FX RateJPY 75.9029 per USD of Notional Amount
Volatility12.0786 %

Premium and Greeks

Option Value (Premium)USD 0.52 = JPY 39.49 per USD 100 of Notional Amount
Option Spot Delta (dValue/dSpot)USD value-sensitivity (LHS): USD -25.0, JPY value-sensitivity (RHS): USD -24.48, per USD 100 of Notional Amount
Option Forward Delta (dFwdValue/dFwd)USD value-sensitivity (LHS): USD -25.01, JPY value-sensitivity (RHS): USD -24.49, per USD 100 of Notional Amount
Option Gamma (d2Value/dSpot2)USD value-sensitivity (LHS): 12.08, 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 -1.39 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

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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