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 %) | | (At-The-Money by default) |
Output: Revalued at Market Close as of: Tue 25 Oct 2011 FX Option Strategy:USDJPY STRADDLECurrency Pair | USDJPY (Japanese Yen per US Dollar) | Strike | JPY 75.862 per USD of Notional Amount (ZERO-LEFT-HAND-SIDE DELTA STRADDLE) | Forward FX Rate | JPY 75.9029 per USD of Notional Amount | Exercise Date | Fri 25 Nov 2011 |
Premium and GreeksOption Value (Premium) | USD 2.62 = JPY 199.04 per USD 100 of Notional Amount | Option Spot Delta (dValue/dSpot) | USD value-sensitivity (LHS): USD 0.0, JPY value-sensitivity (RHS): USD 2.62, per USD 100 of Notional Amount | Option Forward Delta (dFwdValue/dFwd) | USD value-sensitivity (LHS): USD 0.0, JPY value-sensitivity (RHS): USD 2.62, per USD 100 of Notional Amount | Option Gamma (d2Value/dSpot2) | USD value-sensitivity (LHS): 31.94, JPY value-sensitivity (RHS): 31.94, per USD 100 of Notional Amount | Option Vega (dValue/dVol) | USD 0.2324 = JPY 17.6511 per % vol increase per USD 100 of Notional Amount | Option Theta (dValue/dTime) | USD -0.04 = JPY -3.2 per calendar day per USD 100 of Notional Amount | Option Vanna (dVega/dSpot) | USD 0.0 = JPY 0.0 per USD of Notional Amount | Option Volga (dVega/dVol) | USD 0.0 = JPY 0.0 per USD of Notional Amount |
Long Component 1:USDJPY CALLCurrency Pair | USDJPY (Japanese Yen per US Dollar) | Option Type | USD CALL / JPY PUT | Strike | JPY 75.862 per USD of Notional Amount | Exercise Date | Fri 25 Nov 2011 | Forward FX Rate | JPY 75.9029 per USD of Notional Amount | Volatility | 11.2759 % |
Premium and GreeksOption Value (Premium) | USD 1.34 = JPY 101.57 per USD 100 of Notional Amount | Option Spot Delta (dValue/dSpot) | USD value-sensitivity (LHS): USD 49.95, JPY value-sensitivity (RHS): USD 51.29, per USD 100 of Notional Amount | Option Forward Delta (dFwdValue/dFwd) | USD value-sensitivity (LHS): USD 49.97, JPY value-sensitivity (RHS): USD 51.31, per USD 100 of Notional Amount | Option Gamma (d2Value/dSpot2) | USD value-sensitivity (LHS): 15.31, JPY value-sensitivity (RHS): 15.97, per USD 100 of Notional Amount | Option Vega (dValue/dVol) | USD 0.1162 = JPY 8.8255 per % vol increase per USD 100 of Notional Amount | Option Theta (dValue/dTime) | USD -0.01 = JPY -1.51 per calendar day per USD 100 of Notional Amount | Option Vanna (dVega/dSpot) | USD 0.0 = JPY 0.0 per USD of Notional Amount | Option Volga (dVega/dVol) | USD 0.0 = JPY 0.0 per USD of Notional Amount |
Long Component 2:USDJPY PUTCurrency Pair | USDJPY (Japanese Yen per US Dollar) | Option Type | USD PUT / JPY CALL | Strike | JPY 75.862 per USD of Notional Amount | Exercise Date | Fri 25 Nov 2011 | Forward FX Rate | JPY 75.9029 per USD of Notional Amount | Volatility | 11.2759 % |
Premium and GreeksOption Value (Premium) | USD 1.28 = JPY 97.47 per USD 100 of Notional Amount | Option Spot Delta (dValue/dSpot) | USD value-sensitivity (LHS): USD -49.95, JPY value-sensitivity (RHS): USD -48.66, per USD 100 of Notional Amount | Option Forward Delta (dFwdValue/dFwd) | USD value-sensitivity (LHS): USD -49.97, JPY value-sensitivity (RHS): USD -48.68, per USD 100 of Notional Amount | Option Gamma (d2Value/dSpot2) | USD value-sensitivity (LHS): 16.63, JPY value-sensitivity (RHS): 15.97, per USD 100 of Notional Amount | Option Vega (dValue/dVol) | USD 0.1162 = JPY 8.8255 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 0.0 = JPY 0.0 per USD of Notional Amount | Option Volga (dVega/dVol) | USD 0.0 = JPY 0.0 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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