CME to offer vol-based forex quoting

News

The Chicago Mercantile Exchange (CME) plans to offer volatility-based quoting on six of its foreign exchange options on futures contracts: euro, sterling, yen, Canadian dollar, Swiss franc and Australian dollar.

This quoting convention enables 'delta-neutral' trading, eliminating the execution risk inherent in trading in live premium by quoting forex options in volatility terms.

The volatility-based quoting is expected to be launched in the first quarter of 2008, says the exchange. This quoting co

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