eur/usd options

Discussion in 'Options' started by met1989, Jun 13, 2019.

  1. met1989

    met1989

    hello
    what are the most liquid options for our/usd

    as well how come

    when i select from the options /6e and when i select a butterfly of delta of .20/.40/.60 it comes out the delta as follow -9038 Screen Shot 2019-06-13 at 18.41.47.png Screen Shot 2019-06-13 at 18.41.23.png I'm attaching a screen shot and it should be 0 no? Screen Shot 2019-06-13 at 18.41.47.png Screen Shot 2019-06-13 at 18.41.23.png
     
  2. Quiet1

    Quiet1

    The August options are on the September EUR future underlying not on the EURUSD spot price. Sep future is currently 1.1362 (this is due to the interest differential between EUR deposits and USD deposits). If the Sep Future traded at the same price as spot there would be a risk-free arbitrage available until it traded back in line with interest rate differentials.
     
  3. Quiet1

    Quiet1

    Think of it this way. If you held 1 euro until expiry and shorted the equivalent USD then you would earn the interest on the EUR deposit and pay the interest on the USD deposit. For there to be no arbitrage therefore, the forward price expiring on the same date needs to imply THE SAME economics as doing the holding/shorting of currency. In this case that means the forward/future EURUSD price has to be above spot (ie you lose money holding it if spot was unchanged between now and expiry in the same way you would lose holding/shorting the respective currencies because USD interest rate are much higher than EUR interest rates).