CME Group Brings FX Options Volatility Converter Tool

CME Group Brings FX Options Volatility Converter Tool

September 9, 2020

CME Group, a major United States-based derivatives market operator, has announced on Monday the launch of a new FX Options Volatility Converter tool that will allow market participants to price the exchange-listed FX options liquidity in over-the-counter (OTC) terms.

The new tool extracts the extensive market price data from the exchange’s central limit order book that is already functionally equivalent to OTC options and then creates a volatility grid by tenor and deltas for comparison purposes.

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“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,” Paul Houston, managing director and global head of FX products at CME Group, explained.

Easing the traders’ decision-making process

The market operator brought this tool when the market participants are actively looking for efficient ways to lower their trade costs.

This, according to CME, will allow the forex traders to efficiently monitor price relationships and thus helping them to make informed market decisions and execute the best trading strategies.

“Traders can quickly act upon a market opportunity with a drill-down showing the product code, reference premium price, volatility, delta, and futures value to help identify their trading opportunity,” Houston added.

Finance Magnates recently reported on a year-on-year decline in forex volumes on CME for the month of August, however, metals trading on the exchange broke records. It also reopened its Eurodollar options trading pit last month that was closed earlier due to the Coronavirus pandemic.

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