Volatility-Quoted FX Options

Liquidity, expanded.

Trade our new Volatility-Quoted FX options, launching November 14, and be part of the expansion of our liquidity pool to new market participants and the most significant technological innovation in our FX options since their inception.

Volatility-Quoted options allow submission of orders in terms of volatility instead of price. It allows you to trade an option volatility with an attached delta hedge into the corresponding underlying futures contract, similar to a covered option. With this new contract, you can trade without being subject to liquidity risks in the underlying futures: simply exchange delta across market participants and experience more certainty.

Key Benefits

  • Enhanced flexibility and more constant liquidity 
  • Extended access to amalgamated liquidity pools with triangulation 
  • Eliminated volatility-to-premium conversion and on-going price modifications
  • Experience optimal cross margining whether you trade our instruments in volatility or in premium forms and vice versa, they are one and the same
  • Execution cost reduction by utilizing our cleared environment and compression services
  • Existing liquidity of our FX options and futures, and security of our clearinghouse  

Product Information

American and European, monthly and weekly volatility-quoted options are available on the following products:

Discover Volatility-Quoted Options & Triangulation

This video explains the benefits of trading Volatility-Quoted options (VQO), how to trade them and why they are the most significant technological change in our FX options since their inception.

Topics in this video include:

  • What Volatility-Quoted options are
  • Benefits of trading VQO
  • How Triangulation works

Timeline for Launch

Conversion of Volatility to Premium

When a match occurs between two volatility-quoted orders, CME Globex will use an options pricing model to calculate the premium and hedge ratio for the standard option and covering futures being exchanged by the two participants.

Review the full technical specifications and pricing models for implementing VQO

Rate Input for (01/12/2016): 1.045%

Resources

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