FX Volatility Curve

Our system offers a volatility curve or surface that requires everything a professional trading desk requires:

• Basic curve based on ATM, Risk Reversal and Flies.
• Event weighting based on the event time and duration, with system calculating event weight if you inform it of the current market vol or implied daily vol.
• Multiple events per day are not a problem.
• Any extra cut is implied based on the expiry time of the cut. You can trade TK, NY and ECB by only maintaining 1 curve and event weightings.
• Crosses only require maintenance of correlation. Events are taken from the main USD pairs.
• O/N is implied from weightings and continues time, so it decays automatically during the day.
• Configurable: you require something else then we can deliver.

FX Volatility Curve

Example of our vol curve

FX Volatility Weightings

Define events and set the weightings