boots uggs FX Options Analytics
Disclaimer None of the information contained herein constitutes an offer to purchase or sell a financial instrument or to make any investments. Saxo Bank A/S and, or its group companies („Saxo Bank“) do not take into account your personal investment objectives or financial situation and make no representation, and assume no liability to the accuracy or completeness of the information provided, nor for any loss arising from any investment based on a recommendation, forecast or other information supplied from any employee of Saxo Bank, third party, or otherwise. Trades in accordance with the recommendations in an analysis, especially, but not limited to, leveraged investments such as foreign exchange trading and investment in derivatives,
can be very speculative and may result in losses as well as profits. You should carefully consider your financial situation and consult your financial advisor(s) in order to understand the risks involved and ensure the suitability of your situation prior to making any investment or entering into any transactions. All expressions of opinion are subject to change without notice. Furthermore, please refer to Saxo Bank’s full General Disclaimer.
The Saxo Bank (Switzerland) SA disclaimer is available here.
25 delta risk reversals show the difference in volatility, and therefore price, between puts and calls on the most liquid out of the money (OTM) options quoted on the OTC market.
Positive values indicate calls being more expensive than puts (upside protection on the underlying forex spot is relatively more expensive), while negative values indicate puts are more expensive than calls (downside protection is relatively more expensive).
Significant changes can indicate a change in market expectations for the future direction in the underlying Forex Spot rate.
Positions of significant size in the forex options market can have an influence on the underlying forex spot rate.
FX Options strikes in large notional amounts, when close to the current spot level, can have a magnetic effect on spot prices. That is, spot may trend around those strikes as the holders of the options will aggressively hedge the underlying delta.
The Market Pin Risk report shows large options expiring in the next 5 days that Saxo have observed on the OTC Forex Options market. Red strikes indicate sizeable open interest close to the current forex spot rate.
These charts show one month historic volatility versus the one month at the money volatility quoted by the market for option prices. Risk Reversal vs. Spot: Risk reversals show the relative price difference between puts (downside expectation) and calls (upside expectation).
This chart illustrates the historic relationship between one month 25 delta risk reversals versus the underlying spot rate. Saxo Bank Group assume no liability for any loss arising from any investment based on a recommendation, forecast or other information supplied by any employee of Saxo Bank Group, third party,