Prices

 

 

FX Vanilla Options Prices

Pricing model

The pricing model Saxo Bank uses for FX Vanilla Options is the Black-Scholes model.​

Spreads are variable depending on maturity and currency pair. Prices are shown as dynamic bid/ask spreads.

A full list of current FX Vanilla Options spreads are available below under 'Spreads'.

Pricing for your account type

Saxo Capital Markets FX Vanilla Options spreads vary by the account type, i.e. Classic, Premium and Saxonian​ and by a currency pair.

The pricing displayed on your trading platforms is characterised by the account type that has been configured for you when opening the account.

Spreads

The quoted FX Options spreads are for 30 day at-the-money options. Spreads for other strikes and maturities will vary.

Platinum spreads are available to customers trading more than 25 mio EUR notional a month in FX Options.

Premium spreads are available to customers trading more than 7 mio EUR notional a month in FX Options.

See all fx options spreads  with live updates

 

Saxo Capital Markets reserves the right to apply different spreads for notional amounts exceeding market standard or for customers requiring a specific level of service.

Ticket fee on small trades

Small trade sizes incur a 'Minimum Ticket fee' of USD10 or equivalent in another currency. A small trade that attracts a Minimum Ticket fee is any trade below the 'Ticket Fee Threshold' listed below.

​FX Vanilla Option ​Ticket Fee Threshold
XAUUSD​ 50​
XAGUSD​ 5,000​
AUDSGD, EURCZK, EURHUF, EURPLN, EURTRY, EURUSD, GBPAUD, GBPCAD, GBPCHF, GBPJPY, GBPUSD, USDCAD, USDCHF, USDHUF, USDILS, USDJPY, USDMXN, USDPLN, USDSGD, USDTRY, USDZAR 50,000​
AUDJPY, AUDNZD, AUDUSD, CADJPY, CHFJPY, EURAUD, EURCAD, EURCHF, EURGBP, EURJPY, EURNOK, EURNZD, EURSEK, NZDJPY, NZDUSD, USDNOK, USDSEK 100,000​
NOKSEK​ 1,000,000​
 

 

FX Vanilla Options Rates & Conditions

Bid/Ask Spreads and Autoexecution
Saxo Capital Markets 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 exercise 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 50,000 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.
Updated 29th April, 2014​​
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