Currency options

Tropp · February 6th, 2003, 7:47 am

I want to extract volatility smiles and risk neutral densities from plain vanilla currency options. These options have to be very liquid. Would any of you be so kind to recommend some currency options and where they are traded (stock-exchange)? I can get acces to Bloomberg.I would be very grateful for your help.Best regards,Tropp

FDAXHunter · February 6th, 2003, 8:42 am

You're in luck.... FX options are the most liquid option market there is.However, all of it (apart from that stuff tha PHLX trades, which ain't f***-all), is traded OTC.Contact the broker or dealer of your choice.Regards.

Student · February 6th, 2003, 10:27 am

I know some banks, etc. UBS, has a web page where they put up real time volatility data for all sorts of currency pairs and various deltas. The question is whether you can get a password to this.Cheers

Tropp · February 6th, 2003, 1:24 pm

There has got to be somewhere I can get access to data regarding currency options. I need a lot of data - all currency option prices on EUR/USD and USD/JPY for every strike every day and maturities 1m, 3m, 6m and 12m. What about Bloomberg or other international services. I need access to a databse......Regards,Tropp

Warrior · February 6th, 2003, 2:43 pm

jpmorgan vol centre.. the busineess..not sure if you can get access. blag your way in by saying you are going to trade a min of 2 yards per trade... salesperson will give you the passwaord and keys to his penthouse!worked for me!!!!

FDAXHunter · February 6th, 2003, 2:45 pm

Hm... 2 yards per trade... they will hang up on you, I'm sure... I know they are sales, but I would keep it to a realistic figure, like 15-75 Million.

Icecloud · February 12th, 2003, 2:53 pm

Reuters has got historical data on vols of major currencies...

Tropp · February 13th, 2003, 12:21 pm

Thanks for your help. I have got access to Reuters, but I have not been able to locate an currency options - only options og fixed income and equity. Icecloud: do you know more specific how to get these prices from Reuters?:-) Tropp