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  • Example of an ATMF trade in FX market [closed]
    An ATMF trade would be an option trade where the strike would be the forward price to the expiry date of the option and the delta would be hedged using the currency forward So for example, if you look at EURUSD, Spot = 1 11 and you buy a 3M Call ATMS, the strike would be 1 11
  • Variance swap volatility - ATMF vol, Skew and Curvature
    My final objective would be to obtain a relationship that would allow me to compare future ATMF volatility in a LV vs SV framework calibrated to the same smile (hence implied forward start vols), knowing that I can easily compare future ATMF skew and curvature under both models (and since they are both calibrated to the vanilla market, forward
  • Whats the difference between ATM Vol vs ATMF Vol?
    Stack Exchange Network Stack Exchange network consists of 183 Q A communities including Stack Overflow, the largest, most trusted online community for developers to learn, share their knowledge, and build their careers
  • black scholes - At-The-Money-Forward option approximation . . .
    Stack Exchange Network Stack Exchange network consists of 183 Q A communities including Stack Overflow, the largest, most trusted online community for developers to learn, share their knowledge, and build their careers
  • ATM volatility for FX options - Quantitative Finance Stack Exchange
    Stack Exchange Network Stack Exchange network consists of 183 Q A communities including Stack Overflow, the largest, most trusted online community for developers to learn, share their knowledge, and build their careers
  • Is “at the money” referent to the spot or forward price?
    This may be a trivial question, but one I wasn’t sure about Imagine I want to buy a 1 year ATM straddle Does “at the money” imply buying closest to the current spot price, or does it mean to buy
  • At-the-money forward implied volatility
    Stack Exchange Network Stack Exchange network consists of 183 Q A communities including Stack Overflow, the largest, most trusted online community for developers to learn, share their knowledge, and build their careers
  • options - ATMF FX straddle delta - Quantitative Finance Stack Exchange
    These could be premium adjusted deltas Essentially the delta would have been adjusted by the amount of the option premium in foreign currency Re-comment, here is the formula for the premium adjusted ATMF delta (note \phi=1 for call and -1 for put):
  • 50 delta = ATM option 是谁骗了我？ - 知乎
    因为这个calendar是ATMF(ATM forward option) strike 回到BS公式,BS公式的另一种写法: 这里要使delta接近50, 也就是说你看到的strike其实是google1年期,2年期forward的价格
  • volatility - What is the reason for adding 0. 5 variance when . . .
    Why is an Option ATM DNS (Delta Neutral Straddle) strike calculated using exponential value of (rate + 0 5 variance) * t For ATMF (At the money forward), the rate time is used as the value in





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