Risk Reversal Pricing Discrepancy?

P

pippin' 4 life

I thought I posted this but appears that it didn't stick...

Anyway, I'm a beginner with options and I use Reuters E**** for data and news. On the platform I can get option pricing from a number of sources. but some of the sources seem to have different RRs although vols are very similar...

Let's take AUD/USD 3M 25D RR (see attachment) with a quote from ICAP at 4.9/5.9; Tullet Prebon bid -5.5; Citibank bid -5; Broker -6.15/-5.35

As you can see, three of the four show puts favoured over calls but oddly enough ICAP shows calls being favoured...

I looked at charts for the broker and ICAP and the charts go back +1 year and the interesting thing I noted was that the broker showed RRs as always negative and ICAP the exact opposite. Now, maybe I'm missing something but I would just have to assume that during this time RR would have had to have been positive at some point for the broker and negative at some point for ICAP (see screenshot).

Could someone explain to me which RRs to use ( I am thinking the negative ones i.e. broker) and why there is a discrepancy like this?

Thanks in advance!!!
 

Attachments

Lots of you out there are no doubt much more experienced with options than I am, but is anyone able to answer/explain what I noticed on the RRs...? Any postulations?

Merci
 
I see it quoted negative everywhere I look, so I guess it's just a matter of ICAP being an outlier and not quoting using the normal convention.
 
Yeah maybe it's as simple as that... But for the owner of EBS you would think their options data would be just as authoritative...? I know on Reuters and Bloomberg, you have to pay to get their data so I just can fathom that they would be using non-mrkt conventions. Strange.

Anyway, thanks for your two-cents! BTW, you moniker cracked me up. Nice play on martingale (at least that's what I'm assuming it derived from?).
 
Quote from pippin' 4 life:
Anyway, thanks for your two-cents! BTW, you moniker cracked me up. Nice play on martingale (at least that's what I'm assuming it derived from?).
More...
Indeed... Many cool ways you can play w/martingale.
 
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