CME Group introduces FX Options Vol Converter tool

Maria Nikolova

This tool takes the extensive price data that is already functionally equivalent to OTC options and creates a volatility grid by tenor and deltas for comparison purposes.

International derivatives marketplace CME Group Inc (NASDAQ:CME) today announced the launch of a new FX Options Vol Converter tool.

At a time when market participants are looking for efficiencies and ways to lower their cost to trade, this new service is the first-ever tool to price CME Group’s listed FX options liquidity in over-the-counter (OTC) terms, helping foreign exchange traders to more easily monitor price relationships, make more informed decisions across markets, and ensure best execution for their trading strategies.

CME Group’s listed markets have the largest central limit order book for FX options. This tool takes the extensive price data that is already functionally equivalent to OTC options, with alignments in style, expiration time, and underlying price convergence and creates a volatility grid by tenor and deltas for comparison purposes.

Paul Houston, Managing Director, Global Head of FX products at CME Group, explains:

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

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