If you are buying a eurusd range (double no touch) for example, how do you hedge it ? As i understand it you buy the flies sell the ATM's.... but is there another way to hedge your position ?any help appreciated - thanks

Delta exchange is a simple agreement between the counterparties to do exactly that.. to exchange the delta at barrier. Mostly used on exotic options it is a way to get rid of the spot risk by agreeing to trade the spot hedge out again, therefore not taking on a spot position

Morning everyone, if anyone can help with this i would appreciate it...On FX vanilla options such as a call or put, what mkt conditions would make a high or low delta strike look more attractive ?Thanks

I am not quit sure what you are asking, you are obviouly talking about spot trading but are you looking for a spread or a cross ?You can do basket options but they are a group of currencies vs another group so don't think thats what you are aftrer

<t>Apologies if this has been posted before - have had a search and could not find anything I want to know what the formula for working out the approximate vol level for a vanilla option by hand isfor example :- USDTRY 2YR 1.1000 strike 10 dta Try call 2yr 25dta Flies 0.9 2yr 25dta RR 5.45Is there a...

<t>Let me explain this question a bit better - i know the value of RR drops as spot gets lower.. but there has to be a time when spot gets to a level where you started to get buyers for RR in the same way you do when people start the think the spot rate is too low... I just wanted to know what a goo...

... Can any one explain to me how they work ?I have an example if someone could tak me through it - 1yr EURUSD vs 1yr USDJPY - price = 55% / 61% in 20k per us PointAnyone understand these well enough to explain it ? And how to price it up ?

Try VSV on bloomie mate

<t>QuoteOriginally posted by: mihailGood morning,vols on a RR are taken from the corresponding calls and puts.the formula for 1 year is 1yr EURCZK 25dta Call vol - 1yr EURCZK 25dta Put vol.eg, 1yr EURCZK 25dta Call vol spot = 4.871yr EURCZK 25dta Put vol spot = 4.57This gives you a 0.30Call 25DRRYou...

Can anyone tell me what market conditions will make RR move ? Or more importantly what would cause a difference to occur in my model compared to another traders model ??And under what conditons would a 10dta RR move more than a 25dta RR ??

<t>QuoteOriginally posted by: thomssiYou can't, you need strangle 25 delta quote as well. Between them they define the shape of the skew curve.When you have atm and str you can use the following.vol for 25 delta call = str+rr/2put 25 delta = str-rr/2so if the atm is 4.05 for the 2yr, with rr obvious...

Thats great - thanks for your help mate

Morning Everyone - Was hopeing someone might be able to help me on this, i need a formula for working out what the vols should be ?E.g. if i have a 2yr eurczk 25 dta rr at 0.2 - how do i work out what the vols should be ?thanks vm

Morning everyone - Need some help working out what the vols should be on a risk reversal, and was wondering if there is a formula i can use ?For example if i had 2yr EURCZK 25dta RR at 0.2 - what should the vols be ?thanks for your help

<t>QuoteOriginally posted by: daveangelQuoteIf you have a 1wk USDJPY Jpy put 109.90 strike with spot 108.70 and vol 13.85 it gives a delta of about +27%the delta is how much of the underlying you need to hedge the option - in this case if you are short the 109.9 JPY put then you have to sell 27% of ...