FX Zero-Delta Straddle 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 %)  (At-The-Money by default)

Output:

Revalued at Market Close as of: Tue 25 Oct 2011

FX Option Strategy:

USDJPY STRADDLE

Currency PairUSDJPY (Japanese Yen per US Dollar)
StrikeJPY 75.862 per USD of Notional Amount (ZERO-LEFT-HAND-SIDE DELTA STRADDLE)
Forward FX RateJPY 75.9029 per USD of Notional Amount
Exercise DateFri 25 Nov 2011

Premium and Greeks

Option 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 CALL

Currency PairUSDJPY (Japanese Yen per US Dollar)
Option TypeUSD CALL / JPY PUT
StrikeJPY 75.862 per USD of Notional Amount
Exercise DateFri 25 Nov 2011
Forward FX RateJPY 75.9029 per USD of Notional Amount
Volatility11.2759 %

Premium and Greeks

Option 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 PUT

Currency PairUSDJPY (Japanese Yen per US Dollar)
Option TypeUSD PUT / JPY CALL
StrikeJPY 75.862 per USD of Notional Amount
Exercise DateFri 25 Nov 2011
Forward FX RateJPY 75.9029 per USD of Notional Amount
Volatility11.2759 %

Premium and Greeks

Option 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

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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