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FX Options Data. Where can I get it from?

  • Thread starter Thread starter boulala
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boulala

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Hi there,

is there any possibility to get some last year FX Option Prices with corresponding Strikes?
Does anyone know a database? The only thing I have access to, is bloomberg. But I dont know if it is possible to find there something (until now I havent found anything).

The other thing is, which interest rates are used to price EURUSD options? EURIBOR and USD LIBOR? Swaprates? Something else?

Hope you can help me a bit out.

Regards
boulala
 
As long as you're talking about a terminal and not just their website, I'd be pretty shocked if it's not on Bloomberg somewhere...
 
Last edited:
yeah talking about the terminal ;)
do you have any idea, where it could be hidden in bloombergs deep data ocean?
 
Not off the top of my head... Try doing a "live chat" with the Bloomberg "Help Desk", though-- the handful of times I've used it they were actually surprisingly helpful... if the data is in their system somewhere, they'll find it for you.
 
In order to get fx option volatilities from bloomberg you can try to type the currency pair on the terminal and then select "volatility surface".
Note that fx volatilities have a pretty complex convention, so it's not straightforward to use them.
I suggest you to read the paper "FX volatility smile construction" by Reiswich and Wystup.

Usually the interest rates used to price fx options are the standard rate for the domestic currency (-IBOR or OIS) and the fx forward-implied rates for the foreign one.
 
boulala said:
Hi there,

is there any possibility to get some last year FX Option Prices with corresponding Strikes?
Does anyone know a database? The only thing I have access to, is bloomberg. But I dont know if it is possible to find there something (until now I havent found anything).
Click to expand...

Hi
the vast majority of FX Options are traded over-the-counter - that is to say these are private deals done between banks or other large institutions. You can get some overall statistics on this segment of the FX and interest rate market from BIS.
There is a small fraction of the FX options trading that happens on the Philadelphia exchange (now part of Nasdaq OMX group) and on the International Securities Exchange. But these are very small compared to the OTC volume.

If your goal is to just get some rough price points, then you can try Nasdaq (http://www.nasdaqtrader.com/Micro.aspx?id=FXOptions).
If your goal is to research actual trading activity in the market, you may be out of luck unless you can get some data from one of the large banks that makes markets in these options.
 
So what I have figured out until now.
To get FX option prices one has to use the following bloomberg ticker:

SDR <Go> ->3) FX Tab -> 11) Options

Bloomberg uses the following interest rates (EURUSD Options) to price FX options:
EUR Deposit and USD Deposit. How I have understood it, this are the implied rates retrieved from swapcurves.

Maybe this will help some of you :)
 
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