Fx option delta neutral straddle


I am tryinto find out how to go from delta to strike. I have fx option delta neutral straddle the Bloomberg data as a picture where we have following information: I use definition for the Black Sholes delta and I have this problem now:. Fx option delta neutral straddle I believe it's dates and time parameters that's not correct. Arbitrage Theory in Continuous Time the time parameters need to measured in years. Is my approach correct? I have found out about this method by looking at topics that are discussed here: Calculate strike from Black Scholes delta.

Delta - strike fx option delta neutral straddle regardless of expiry? In FX world, the ATM strike is the delta-neutral strike, that is, the absolute delta values of a call and the corresponding put are the same. Moreover, the delta can be premium adjusted or not depending on the particular currency pair. See the linked paper as mentioned by AntoineConze.

There are specific quotation conventions for specifying ATM and deltas for FX options quotes unadjusted deltas, premium adjusted deltas, etc. These conventions vary across currency pairs. See this paper https: By posting your answer, you agree to the privacy policy and terms of service.

Questions Tags Users Badges Unanswered. Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. Join them; it only takes a minute: Here's how fx option delta neutral straddle works: Anybody can ask a question Anybody can answer The best answers are voted up and rise to the top. I use definition for the Black Sholes delta and I have this problem now: Calculate strike from Black Scholes delta Black model: I am not certain that your approach is correct but I think it is but I am certain that the time to maturity is not totally correct.

Bloomberg calendar takes holidays etc in account so it's not as simple as you did it with: One of your links is my own post, and the time is discussed at comments. Antoine Conze 2, 1 3 9. I hate how this is the case. Sign up or log in Sign up using Google. Sign up using Facebook. Sign up using Email and Password.

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