Forex Help Forum Archive for 05/12/2005

Toronto Pumpkin 19:28 GMT May 12, 2005
Subject: Reply   
soryr, I didn't see your comment until now. In terms of vol direction, I agree with you, I'd rather be long euro vol from here than short. If spot gets to 1.26, the bottom could really drop out from eur/usd, so it could run nicely. I wouldn't quite call it a "bargain" as we've seen lower 1-month vols recently, but I agree with your direction.

Calcutta Vikram 14:48 GMT May 12, 2005
Subject: Reply   
BTW, the 1-month Put looks like a decent bargain, innit?

Toronto Pumpkin 14:43 GMT May 12, 2005
Subject: Reply   
no problem. i'll tell you outright if i'm too busy to answer.

Calcutta Vikram 14:41 GMT May 12, 2005
Subject: Obliged Reply   
I'm highly obliged to you, Pumpkin. Only, I should not be imposing on you. Thanks

Toronto Pumpkin 14:36 GMT May 12, 2005
Subject: Reply   
not formally, but get my email from jay and feel free to ask me questions any time. I'm an options marketer. My clients over the years have ranged from novice corporates to interbank dealers so my portfolio runs the gamut. I'm accustomed to all kinds of questions. :)

Calcutta Vikram 14:30 GMT May 12, 2005
Subject: EURUSD Put Options Reply   
THANKS SO MUCH, Pumpkin.....it means the Pricer I have works.

My Strike date for the 3 month was 17-Aug and I was working 13-May as the Trade Date.

Do you do mentoring in Options? If so, can I apply?

Toronto Pumpkin 14:26 GMT May 12, 2005
Subject: eurusd put prices Reply   
I get the same as you on the 1 and 2 month, but for 3month, 1.2715 strike, I get 1.6224% or 206 pips.

I'm pricing for 12 aug expiry/16 aug delivery. fwds = +36.0, vol = 8.85

Calcutta Vikram 14:14 GMT May 12, 2005
Subject: EURUSD Put prices Reply   
Hi Pumpkin......thanks for your posts. I'll have to chew over them. In the meanwhile, can you please tell me whether the prices I've calculated are anywhere close to correct?

For EURUSD Puts on a 1.2715 Spot AND Strike......
1 mth......1.0001% or 127 EUR pips
2 mth......1.3542% or 172 EUR pips
3 mth......1.6880% or 215 EUR pips

Appreciate your help.

Toronto Pumpkin 13:49 GMT May 12, 2005
Subject: vol run & risky run for Vikram Reply   
The vol run I originally gave you on GVI is for at-the-money forwards (ATMF). For low delta (low probability) strikes, we don't price them at the same price as the ATMFs. The vol tends to get more expensive the lower the probability. So that if you were chart the price of vol (on the y-axis) against the strike (x-axis) for a given maturity, you get a curve that looks like a smile. So if you hear people talking about smile/skew, this is what they are referring to.

Toronto Pumpkin 13:41 GMT May 12, 2005
Subject: vol run & risky run for Vikram Reply   
if the 1 month risky in eurusd is quoted 0.15/0.35 puts over...
It is the bid-offer spread for dealing the 25-delta costless collar.
"25-delta" refers to the probability that the option will in the money at expiry, (so 25%)
"puts over" means the puts are more expensive than the calls.

If you are dealing a 25-delta risk reversal (costless collar) where you and buying the puts, you will be charged 0.35% in vol spread. So you might pay 8.85% for the 25-delta put, and earn 8.45% for the ~25-delta call you sell.

Conversely if you are buying the call and selling the put, you will earn 0.15% in vol. So you might pay 8.5% for the call and earn 8.65% for the put.

mebl dd 12:22 GMT May 12, 2005
Subject: Globalserver Reply   
If you any one knows anything about configuring globalserver which comes with Tradestation 2000i, I would like to hear from you. I am having some issue collection real time data in the globalserver program.