Exotic options

M

marketsurfer

Can someone recomend a basic book/educational website on digital, no touch, double no touch, and the other exotic FX options?

I can see the power in these tools, but don't know where to go to get educated.

thanks,

surfer
 
i don't know of any single source that has everything..

two good books that cover relevant material are:

Dynamic Hedging: Managing Vanilla and Exotic Options - nassim taleb

Exotic Options - Peter Zhang


an introductory reading attached..
 

Attachments

Quote from Jackjones:

Oanda are a good put/call no touch brazillian :P introduction.

If you figure out how to work their gama pm me, cheers :D
More...

Don't hedge them discretely. Dial-in the risk reward and trade a static spot hedge accordingly. Limit your gammas through duration[long] and proximity[near]. Easy to model, hard to hedge... or so the saying goes.
 
Quote from Jackjones:

Oanda are a good put/call no touch brazillian :P introduction.

If you figure out how to work their gama pm me, cheers :D
More...

Hi JJ, Knockout here.
 
do different dealers have differing implied volatilities, etc for the exotics? does oanda differ much from FXCM when using exotics retail?

can someone recommend an actual trade here for a beginner in this market?

thanks,

surf
 
Quote from marketsurfer:

do different dealers have differing implied volatilities, etc for the exotics? does oanda differ much from FXCM when using exotics retail?

can someone recommend an actual trade here for a beginner in this market?

thanks,

surf
More...

FXCM's pricing is egregious on the ops and bad on spot as well. Stick to the double no touch if trading FXCM. Go with a single[no]touch market if trading Oanda w/spot hedge. Stay clear of double touch options.

All dealers will be in line on fairval, they will differ on variance [edge]. Short term options are priced against stat-vol, longer term options follow the implied vol-surface.
 
Quote from marketsurfer:

can someone recommend an actual trade here for a beginner in this market?
More...

You'll find a brief analysis, with a useful IV summary table for 4 majors, nearly every Monday afternoon on dailyfx.com. The same story will also describe 4 very specific exotics "trade ideas." Just look for the word "volatilities" in the subject line of a news story on their home page. For example, here's today's piece:

http://www.dailyfx.com/story/strate...ties_Remain_Mixed__Overall_1168294255998.html

Note that the writer, the trade ideas, the premiums and the phone numbers all come from FXCM (who owns and runs dailyfx). Since hell has not frozen over yet, this is in no way a recommendation of FXCM on my part. Rather, it is merely a heads-up to an ongoing source of completely specified, easily understood, currency exotics trade ideas, suitable to study or even forward test. Have fun.
 
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