FX Vanilla Options Rates

Bid/Ask Spreads and Autoexecution

The Saxo Bank Group is a global leader in Forex Vanilla Options trading. We are able to provide streaming prices for most of the popular currency pairs with larger strike ranges and longer maturities than others. This means you have direct access to trade Forex Vanilla Options on live prices without dealer intervention. Except on low-value trades, there are no commissions on trading Forex Vanilla Options, only the difference in the spread. Since Saxo Capital Markets always quotes both the bid and ask price, the current spread is always visible to you.

Exercise method

Forex Vanilla Options that are 'in the money' are automatically exercised at 10:00 New York time (New York cut) on the day of expiry where they are converted to a spot position. Up to one hour before exercise you may choose between receiving and keeping the spot position (“spot”) or having Saxo Capital Markets automatically exit the spot position at mid-price of the spread at the time of exercise (“cash”).

Cash exercise method is available on short and long positions, on all Forex Vanilla Options and automatic exit of the spot position is available at mid-price of the spread – also in volatile market conditions.

Change of an excercise method is possible up to 1 hour prior to the Options expiry.

If spot exercise method is chosen, the spot position is subject to the usual profit/loss if the spot price moves from the exercise price. If you already have an offsetting position at the time of exercise, the exercised position will be netted out on the following day.

Commission on Low-Value Trades

For very small value trades a commission fee is added to the trade to cover administration costs. The current low value commission thresholds are always available for all tradable FX Vanilla Options currency pairs in the SaxoTrader and the SaxoWebTrader under Trading Conditions.

Forex Vanilla Options Margin Requirements

Margin requirements for Forex Vanilla Option positions take into account changes in:

  • volatility
  • spot price of the underlying asset
  • open positions (that effectively reduce the risk associated with your Options positions).

Margin Calculation Overview

The margin requirement for a Forex Vanilla Option position consists of two components:

  • Delta Margin which is related to the exposure to changes in the underlying Forex spot rate
  • Vega Margin which is related to changes to the exposure in the volatility of the underlying Forex cross

The calculation for the margin requirement of a Forex Vanilla Option position is:

 

MARGIN REQUIRED = DELTA MARGIN + VEGA MARGIN

 

Across all Forex products (including Options), the margin rates for the first EUR 300,000 of investment collateral are 50% of the normal margin rates.

 

The calculation methodologies for the Delta Margin and Vega Margin components of the margin requirement for Forex Vanilla Option positions are described in the appropriate tabbed sections above.

 

See sample calculations for a small portfolio of Forex Spot and Forex Vanilla Option positions.