Оглавление
Peter Billington. FX Option Performance
About the Authors
CHAPTER 1. Introduction
1.1 WHY READ THIS BOOK?
1.2 THIS BOOK
1.3 WHAT IS AN FX OPTION?
1.4 MARKET PARTICIPANTS
1.4.1 How Hedgers Can Use This Information
1.4.2 How Investors Can Use This Information
1.5 HISTORY AND SIZE OF THE FX OPTION MARKET
1.6 THE FX OPTION TRADING DAY
1.7 SUMMARY
REFERENCES
CHAPTER 2. The FX Option Market: How Options Are Traded and What That Implies for Option Value
2.1 INTRODUCTION
2.2 THE BASICS OF OPTION PRICING
2.2.1 The Black-Scholes-Merton Model
2.2.2 The Impact of Volatility
2.2.3 The Impact of Rate Differentials
2.3 HOW OPTIONS ARE TRADED
2.3.1 Two Views of Volatility
2.3.2 Static Trading
2.3.3 Dynamic Trading
2.4 A MORE DETAILED DISCUSSION OF OPTION TRADING
2.4.1 The Greeks
2.5 SUMMARY
REFERENCES
CHAPTER 3. It Is All About the Data
3.1 INTRODUCTION
3.2 THE GOAL: TO PRICE LOTS OF OPTIONS!
3.3 DEFINING A UNIVERSE OF CURRENCIES
3.4 THE DATA
3.4.1 Pricing Model Data Requirements
3.4.2 Sourcing the Data
3.4.3 Calculation Frequency
3.4.4 Currency of Option Notional Amount
3.4.5 Spot Market Value
3.5 LIMITATIONS
3.6 SUMMARY
REFERENCES
CHAPTER 4. At-the-Money-Forward (ATMF) Options
4.1 WHAT ARE ATMF OPTIONS?
4.1.1 How Are ATMF Options Used and Traded?
4.1.2 What Is the ‘Fair’ Price for an ATMF Option?
4.2 HOW MIGHT MISPRICINGS ARISE?
4.2.1 Can the Forward Rate Be on Average Wrong?
4.2.2 Can the Implied Volatility Be on Average Wrong?
4.2.3 Simple Example with USDJPY
4.3 RESULTS FOR STRADDLES FOR ALL CURRENCY PAIRS
4.3.1 Discussion of Results for Straddles
(i) Efficient, liquid trading
(ii) Inefficient markets/illiquidity
(iii) Carry in pegged currencies
(iv) Supply and demand, or positioning
(v) Opportunity/mispricing
4.3.3 Drilling Down to Different Time Periods
4.3.4 Comparison of Put and Call Options
4.4 HAVE WE FOUND A TRADING STRATEGY?
4.5 SUMMARY OF RESULTS
REFERENCES
CHAPTER 5. Out-of-the-Money (OTM) Options: Do Supposedly ‘Cheap’ OTM Options Offer Good Value?
5.1 INTRODUCTION
5.2 PRICE VERSUS VALUE
5.3 THE IMPLIED VOLATILITY SURFACE
5.4 WHY DO VOLATILITY SURFACES LOOK LIKE THEY DO?
5.4.1 Equity Indices
5.4.2 Foreign Exchange Markets
5.5 PARAMETERISING THE VOLATILITY SMILE
5.6 MEASURING RELATIVE VALUE IN ATMF AND OTM FOREIGN EXCHANGE OPTIONS
5.6.1 The Analysis
5.6.2 Option Premium
5.6.3 Option Payoff
5.6.4 Payoff-to-Premium Ratios
5.6.5 Discussion
5.6.6 Alternative Measures of OTM Option Worth
5.7 SUMMARY
REFERENCE
CHAPTER 6. G10 vs EM Currency Pairs
6.1 WHY CONSIDER EM AND G10 OPTIONS SEPARATELY?
6.2 HOW WOULD EM FX OPTIONS BE USED?
6.3 STRADDLE RESULTS
6.3.1 Comparison of ATMF Put and Call Options
6.3.2 Comparison of OTM Put and Call Options
6.3.3 The Effect of Tenor
6.4 HEDGING WITH FORWARDS VS HEDGING WITH OPTIONS
6.5 SUMMARY OF RESULTS
CHAPTER 7. Trading Strategies
7.1 INTRODUCTION
7.2 HISTORY OF THE CARRY TRADE
7.3 THEORY
7.4 G1 °CARRY TRADE RESULTS
7.5 EM CARRY TRADE RESULTS
7.6 WHAT IS GOING ON?
7.7 OPTION TRADING STRATEGIES – BUYING PUTS
7.8 OPTION TRADING STRATEGIES – SELLING CALLS
7.9 OPTION TRADING STRATEGIES – TRADING CARRY WITH OPTIONS
7.9.1 Premium and Payoff vs MTM Calculations
7.10 SUMMARY OF RESULTS
REFERENCES
CHAPTER 8. Summary
8.1 A CALL TO ARMS
8.2 SUMMARY OF RESULTS FROM THIS BOOK
8.3 BUILDING UP A PICTURE
8.3.1 What Does This Mean in Practice?
8.4 FINAL WORD
Appendix
CHAPTER 1
CHAPTER 2
CHAPTER 4
CHAPTER 5
CHAPTER 6
Glossary
Index
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