An overview of changes to at-the-money volatilities and the relative value of puts vs. An OTC volume index, market pin risk table and selected volatility and risk reversal charts. The Saxo Bank Group entities each provide execution-only service and access to Tradingfloor. Such content is therefore provided as no more than information.
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Ken Veksler, who's got nearly twenty years of trading experience, gives his forthright opinions. Disclaimer The Saxo Bank Group entities each provide execution-only service and access to Tradingfloor. Saxo Bank's latest FX options market report details some interesting developments in the volatilities space, particularly in terms of Turkish lira carry trades. View all 5 comments.
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Also am i correct in assuming that same strike call and puts have the same volatility? Because of the call put parity, if they had different volatilities there would be an arbitrage. This is not the case because of skew - there is often more demand for downside options due to spot-vol correlation.
Hi where does Saxo get this data from as I find some discrepancies from other sources? I love what you do here! Also does anyone know where i can find information like this, risk reversals, ATM IV 1wk 1mth etc but in more detail on any other sites? FX implied volatilities are available from several sources, but it does cost. Bloomberg, Reuters are the two most obvious sources.
How much do the other sources cost? OTC data IS expensive, and the cheaper alternatives have the trouble of being possibly less reliable. Hi Guys, I am new to this forum. I would be grateful if someone could help me address my questions on the vol Grid shown above. For ATM for this grid i. I can see that ATM Straddles are not supposed to have a skew so what is the number in the bracket? Once again, what is the number in the bracket for? There should be just one RR number so then whats the number in the bracket?
I assume that the RR are with respect to Calls. In this case calls are bid over puts? View all 7 comments. I don't know about the source of the risk reversals SAXO uses. They used to come from GFI which came straight from Historical daily FX volatilities, strangle- and risk reversal prices were available earlier for free from the British Banker's Association's website - but no more. Also does anyone know where i can Check your inbox for a mail from us to fully activate your profile.
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