CME Unveils FX Options Volatility Converter Tool

CME Group has announced the launch of a new FX options vol converter tool. The Merc says that at a time when market participants are looking for efficiencies and ways to lower their cost to trade, this new service is the first-ever tool to price CME Group’s listed FX options liquidity in OTC terms, helping FX traders to more easily monitor price relationships, make more informed decisions across markets, and ensure best execution for their trading strategies.

The exchange adds that the new tool takes the extensive price data that is already functionally equivalent to OTC options, with alignments in style, expiration time, and underlying price convergence and creates a volatility grid by tenor and deltas for comparison purposes.

“Our new FX options vol converter calculates and converts our listed FX options premiums, fixed strike data, rules, and formats into an OTC-equivalent volatility surface, in OTC standard tenors, deltas, and quote conventions – creating comparable pricing across major options pairs,” says Paul Houston, managing director, global head of FX products at CME Group. “Traders can quickly act upon a market opportunity with a drilldown showing the product code, reference premium price, volatility, delta and futures value to help identify their trading opportunity.”

Colin Lambert

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