GFI to help Risk Managers in FX Options Market

GFI now provides risk managers with access to independent data for the FX options market, setting daily, at 10am EST, implied volatility surfaces, ATMF, 10 & 25 deltas for OTC FX options for 20 currency pairs, from one week to 12 months.

First Published by e-Forex News: April, 2003

GFI now provides risk managers with access to independent data for the FX options market, setting daily, at 10am EST, implied volatility surfaces, ATMF, 10 & 25 deltas for OTC FX options for 20 currency pairs, from one week to 12 months. Risk managers are expected to find this data invaluable for revaluing FX derivative portfolios.
The data reflects actual, traded, inter-bank prices live with GFI. The GFI revaluation fixings can be downloaded into risk management systems or into GFIs FENICS FX software, the benchmark in FX option pricing and risk management. Regulations require institutions to independently revalue derivative contracts. To date there have been no means to do this for FX Options, said Mike Binns, FX Market Specialist, GFI.