Volatility-Quoted FX Options

Liquidity, expanded.

Trade Volatility-Quoted FX options and be part of the expansion of our liquidity pool to new market participants and with triangulation, 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 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 exposed to liquidity risks in the underlying futures: simply exchange delta across market participants and experience more certainty.

Key Benefits

  • Reduced execution risk for volatility traders with automated delta-hedge
  • Fee advantage as futures delta leg is free on VQO option trades
  • Speed advantage from the in-engine triangulation reacting to changes in futures and option orders
  • Ultimate liquidity combining access to Vol and Premium option flows

Add VQO Grid to CME Direct

CME Direct users can add the VQO trading grid to your account by following these simple steps:

  1. Right Click on the button below and save the .xml file to your computer
  2. Import the grid into CME Direct with the “Import View” option in the main menu.

Download VQO Grid

Quotes

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

Vendor Codes

Option Contract Expiry  Clearing/Globex  Reuters  TT Bloomberg 
AUD/USD Volatility-Quoted European-Style Option - 2 pm Fix Monthlies VXA 0#1AUV+ VXA VXAA
  Wednesdays VA1-VA5 0#1VASW+ VA1-VA5  
  Weeklies VAA-VAE 0#1AUVW+ VAA-VAE VAWA
GBP/USD Volatility -Quoted European-Style Option - 2 pm Fix Monthlies VXB 0#1BPV+ VXB VXBA
  Wednesdays VG1-VG5 0#1VGW+ VG1-VG5  
  Weeklies VBA-VBE 0#1BPVW+ VBA-VBE VWBA
CAD/USD Volatility -Quoted European-Style Option - 2 pm Fix Monthlies VXC 0#1CVV+ VXC VXCA
  Wednesdays VC1-VC5 0#1VCW+ VC1-VC5  
  Weeklies VCA-VCE 0#1CVVW+ VCA-VCE VCWA
EUR/USD Volatility -Quoted European-Style Option - 2 pm Fix Monthlies VXT 0#1UVV+ VXT VTEA
  Wednesdays VE1-VE5 0#1VEW+ VE1-VE5  
  Weeklies VTA-VTE 0#1UVVW+ VTA-VTE VTWA
JPY/USD Volatility -Quoted European-Style Option - 2 pm Fix Monthlies VXJ 0#1JVV+ VXJ VJPA
  Wednesdays VJ1-VJ5 0#1VJW+ VJ1-VJ5  
  Weeklies VJA-VJE 0#1JVVW+ VJA-VJE VJWA
CHF/USD Volatility -Quoted European-Style Option - 2 pm Fix Monthlies VXS 0#1SVV+ VXS VXSA
  Weeklies VSA-VSE 0#1SVVW+ VSA-VSE VWSA

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.

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