FREE Forex Options Analytics

Saxo Bank publishes free interbank OTC FX Options Market Information and provides an insight into aggregated client positioning data.

Innovative FX Options tools

ATM Volatilities

At-the-money (ATM) implied volatilities are the prices (in volatility terms) for the most liquidly quoted forex option contracts. Significant changes can indicate a change in market expectation of future variability in the underlying Forex Spot market.

Retail Position Ratios

Retail position ratios shows retail trader (not OTC) positioning for each currency pair.

Combined spot positions aside, traders with a view that the underlying Forex Spot rate will rise will tend to be long calls and short puts, traders with a view that the rate will fall will tend to be short calls and long puts.

The ratio is an indicator of the overall sentiment from Saxo Bank's clients trading Forex Options.

25-delta Risk Reversal

25-delta risk reversals show the difference in volatility, and therefore price, between puts and calls on the most liquid out-of-the-money (OTM) options quoted on the OTC market.

Positive values indicate calls being more expensive than puts (upside protection on the underlying forex spot is relatively more expensive), while negative values indicate puts are more expensive than calls (downside protection is relatively more expensive).

Significant changes can indicate a change in market expectations for the future direction in the underlying Forex Spot rate.

OTC Volume Index

Saxo Bank observe trades of standard contracts taking place in the over-the-counter (OTC) forex options market. The OTC volume index shows volume traded in the past 24-hours versus a rolling one month daily average.

While not capturing all OTC flow, the index is a barometer of volume on liquid contracts for different crosses. Values over 100 indicate volume higher than the average, values under 100 indicate volume lower than the average.

Market Pin Risk

Positions of significant size in the forex options market can have an influence on the underlying forex spot rate.

FX Options strikes in large notional amounts, when close to the current spot level, can have a magnetic effect on spot prices. That is, spot may trend around those strikes as the holders of the options will aggressively hedge the underlying delta.

The Market Pin Risk report shows large options expiring in the next 5 days that Saxo have observed on the OTC Forex Options market. Red strikes indicate sizeable open interest close to the current forex spot rate.

Implied vs. Historic Volatility

Large differences in implied (quoted for option prices) and historic (realised, i.e., actual movements in spot price) volatilities can be interpreted as relative over or under-pricing of options by the market.

These charts show one month historic volatility versus the one month at-the-money volatility quoted by the market for option prices. Risk Reversal vs. Spot: Risk reversals show the relative price difference between puts (downside expectation) and calls (upside expectation).

This chart illustrates the historic relationship between one month 25-delta risk reversals versus the underlying spot rate. Positive values indicate calls valued higher than puts, negative values indicate puts valued higher than calls.

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