FX Vanilla Options are available for more than 40 currency crosses including gold and silver. 
All FX Options trade on the innovative FX Options Board.
 

FX Vanilla Options

Pricing model

The pricing model for FX Vanilla Options is based on an implied volatility surface for the Black-Scholes model based on the interbank market. 

 

Spreads are variable depending on maturity and currency pair. Prices are shown as dynamic bid/ask spreads.

 

See full list of current FX Vanilla Options spreads below.​

Trade on quotes, with no slippage

'Green' option prices streamed up to the auto execution limits will be executed automatically, whereas the ‘yellow’ prices that are above the auto execution limit trades require you to request for a quote (RFQ), which means that the dealer will quote price to you manually.
 
So that the options’ execution price available to you is the actual price of the trade known to you upfront – “what you see is what you get”, with no slippage involved.
 
Saxo Capital Markets does not charge you for requesting a quote from a dealer.

List of all FX Vanilla Options and Spreads

The quoted FX Options spreads are for 30 day at-the-money options. Spreads for other strikes and maturities will vary. 

 

 

See all fx options spreads with live updates  

 

Saxo Capital Markets reserves the right to apply different spreads for notional amounts exceeding market standard or for customers requiring a specific level of service.

 

​Please contact us if you would like to know more competitive FX options spreads.​

Ticket fee on small trades

Small trade sizes incur a 'Minimum Ticket fee' of USD10 or equivalent in another currency. A small trade that attracts a Minimum Ticket fee is any trade below the 'Ticket Fee Threshold' listed below.

 

​FX Vanilla Option​ ​Ticket Fee Threshold
XAUUSD​ 50​
XAGUSD​ 5,000​
AUDSGD, EURCZK, EURHUF, EURPLN, EURTRY, EURUSD, GBPAUD, GBPCAD, GBPCHF, GBPJPY, GBPUSD, USDCAD, USDCHF, USDHUF, USDILS, USDJPY, USDMXN, USDPLN, USDSGD, USDTRY, USDZAR 50,000​
AUDJPY, AUDNZD, AUDUSD, CADJPY, CHFJPY, EURAUD, EURCAD, EURCHF, EURGBP, EURJPY, EURNOK, EURNZD, EURSEK, NZDJPY, NZDUSD, USDNOK, USDSEK 100,000​
NOKSEK​ 1,000,000​

Margin Profile

The margin requirements for FX Vanilla option takes into account changes in:
  • Volatility
  • Spot price of the underlying asset
  • Already open positions

Delta and Vega Margin

The margin requirements for FX Vanilla option positions consists of two components:
  • Delta Margin - which is related to the exposure to changes in the underlying Forex spot rate
  • Vega Margin - which is related to changes to the exposure in the volatility of the underlying Forex cross.
The margin requirement of a FX Vanilla options position is:
Margin Required = Delta Margin + Vega Margin​​

Delta Margin

The Delta of an FX option position describes how the value of the option changes as a result of changes in the underlying FX spot rate.
The Delta of an FX option position multiplied by the notional amount gives the underlying spot exposure of the position (i.e., Delta Exposure = Notional Amount * Delta). The spot exposure represents the size of the spot position required to hedge the FX option.
 
The calculation for the Delta Margin requirement of a Forex Option position is:
 
Delta Margin = Delta Exposure * Forex Spot Margin Requirement
 
When calculating the Delta Margin requirement for a new FX option position, all of the portfolio’s current spot exposures at the client's account includes any sub accounts - both open FX spot positions and FX option spot exposures – are considered.

Vega Margin

The Vega of an FX Vanilla option position describes how the value of the FX option position changes as a result of changes in the implied volatility of the underlying FX cross.
 
The calculation for the Vega Margin component of a Forex Option position is:
 
Vega Margin = Notional Amount * Vega * Max (Implied Volatility, Floor Value) * Volatility Factor
 
A floor value of 10% apply.
 

​​

​​

Let's talk

​​Let us match your needs with our expertise​ 


Contact us  ​​​​​​​​​​​​​​​