Jump to content

Forex Option Pricing no longer conforming to Black Scholes


Recommended Posts

I have traded £/$ option for a few years but wondered if anyone can tell me why IG option prices fed from UBS Bank have drastically departed from the Black Scholes Pricing model recently, which it used to conform with? Whilst this is an OTC mkt IG have informed me in the past that they "follow" BSM pricing, which they used to do by and large but now:.

Example:

£/$ Sept 13100's:
Call Option mid: 31.
Put Option 510.

BSM pricing model price on £/$ Sept 13100's: 
Call Option 71 
Put Option 343.

Thanks.

Link to comment

Create an account or sign in to comment

You need to be a member in order to leave a comment

Create an account

Sign up for a new account in our community. It's easy!

Register a new account

Sign in

Already have an account? Sign in here.

Sign In Now
×
×
  • Create New...
us