Tradition Enhanced FX Options Product Specification

Product Code:

FXO-NUM-GLO-ALL

Description:

Tradition and Numerix have joined forces to provide a best of breed FX Options Volatility data service. This offering combines Tradition’s global market leading FX Options pricing and trade data with Numerix’s unrivaled analytics, providing the highest quality volatility surfaces in over 130 currency pairs. Numerix was founded in 1996 with the mission of bringing transparency to the pricing of financial derivatives. Since then it has established itself as the global leader of financial analytics and has evolved to become a provider of pricing and risk solutions for the capital and insurance markets. Tradition Enhanced FX Options offer 139 currency pairs for ATM (At-the-Money) Straddles, including 5, 10, 15, 25 & 35 Delta risk reversals and butterflies. Volatility surfaces running from 1W up to 30 years, depending on currency and liquidity. 3 snaps per day (London, New York and Tokyo closes).

Data Source:

FX Options coverage taken from pricing and trade data coupled with in-house analytics

Delivery Method:

• Three snaps :Three snaps per day (London, New York and Tokyo closes) delivered via SFTP.

Data Frequency:

Three snaps per day for London, New York and Tokyo closes.

Data Format:

CSV files for three daily snaps

Data Coverage:

• Asset Class: FX Options ( FXO )
• Sub Class: FXO ATM,Risk Reversals and Butterflies
• Total: +31K instruments
• Tenors: 1WK to 30Y. Check tenor coverage below.
• 145 Currency Pairs :
• AUDCAD, AUDCHF, AUDCNH, AUDDKK, AUDHKD, AUDJPY, AUDKRW, AUDNOK, AUDNZD, AUDSEK, AUDSGD, AUDUSD, AUDZAR, CADCHF, CADDKK, CADJPY, CADMXN, CADNOK, CADSEK, CADSGD, CADZAR, CHFDKK, CHFHKD, CHFHUF, CHFJPY, CHFMXN, CHFNOK, CHFPLN, CHFSEK, CHFSGD, CHFTRY, CHFZAR, CNHJPY, CNHZAR, CNYJPY, CNYZAR, DKKJPY, DKKNOK, DKKSEK, EURAUD, EURCAD, EURCHF, EURCNH, EURCNY, EURCOP, EURCZK, EURDKK, EURGBP, EURHKD, EURHUF, EURIDR, EURILS, EURINR, EURJPY, EURKRW, EURMXN, EURMYR, EURNOK, EURNZD, EURPLN, EURRON, EURRUB, EURSEK, EURSGD, EURTRY, EURTWD, EURUSD, EURZAR, GBPAUD, GBPCAD, GBPCHF, GBPDKK, GBPHKD, GBPINR, GBPJPY, GBPKRW, GBPMXN, GBPNOK, GBPNZD, GBPPLN, GBPSEK, GBPSGD, GBPUSD, GBPZAR, HKDJPY, HKDKRW, INRJPY, INRZAR, JPYIDR, JPYILS, JPYINR, JPYKRW, JPYSGD, JPYTWD, MXNJPY, NOKJPY, NOKSEK, NZDCAD, NZDCHF, NZDGBP, NZDHKD, NZDJPY, NZDNOK, NZDSEK, NZDSGD, NZDUSD, SEKJPY, SGDHKD, SGDIDR, SGDJPY, SGDMYR, SGDTWD, THBJPY, TRYJPY, TRYZAR, USDARS, USDCAD, USDCHF, USDCNH, USDCNY, USDCOP, USDCZK, USDDKK, USDHKD, USDHUF, USDIDR, USDILS, USDINR, USDJPY, USDKRW, USDMXN, USDMYR, USDNOK, USDPLN, USDRON, USDRUB, USDSEK, USDSGD, USDTHB, USDTRY, USDTWD, USDZAR, XAGUSD, XAUUSD, ZARJPY

FX Options At-The-Money (ATM) - Data Coverage

FX Options +5,10,15,25 and 35 Delta Risk Reversals and Butterflies - Data Coverage

Tenor Coverage for At-The-Money (ATM) ,Risk Reversals and Butterflies

Data Dictionary:

Attribute	Description
Name	Instrument Name Instrument Format : CCY Pair + Strategic Type + Delta Value + Tenor = Price Source Strategic Type : BF = Butterfly,RR = Risk Reversal, NO-CODE means ATM Delta Value : 5, 10, 15, 25 & 35. No delta means ATM Tenors :ON (= overnight), 1W, 2W, 3W, 1M, 2M, 3M, 4M, 5M, 6M, 7M, 8M, 9M, 10M, 11M, 1Y, 2Y, 3Y, 5Y, 10Y and OD (= odd date) Price Source :TNMX is Tradition Enhanced FX Options Example AUDCADBF25_1WK=TNMX : is Australian Dollar/Canadian Dollar 1Week, 25 Delta Butterfly
Bid	Bid Rate
Ask	Ask Rate
Date	Quote Date
Time	Quote Time (UTC)

FAQ:

Question	Answer
How many snap files are available per day?	Three snaps per day (London, New York and Tokyo closes)
What is Numerix ?	Numerix is an American capital markets technology provider that develops analytics and software solutions for risk management, trading, valuations, and pricing of financial products like derivatives, structured products, and variable annuities.
What is Numerix FX Option pricing models ?	Numerix CrossAsset provides advanced pricing models and numerical methods for accurately valuing a wide range of FX options, including: Vanilla FX options (European, American, Barrier, etc.) Exotic FX options (Binary, Compound, Asian, etc.) FX option portfolios and surfaces FX/Interest Rate hybrid products It supports industry-standard models like Black-Scholes, as well as advanced models like Stochastic Local Volatility (SLV), SABR, Quadratic Hawkes, and more. This allows precise pricing of complex FX options while capturing volatility skew/smile dynamics.
What is Tradition-ICAP ?	Tradition-ICAP is a prominent global player in the OTC FX options market, combining traditional voice brokering with an innovative electronic trading platform tailored for currency derivatives. It was formed in July 2000 through the merger of the OTC FX options divisions of TFS Group and ICAP plc. The company integrated the Volbroker electronic trading platform into its currency options business in November 2001, combining voice-brokered liquidity with an electronic broking system designed specifically for FX options trading.
What is Volbroker ?	Volbroker was the first electronic inter-dealer trading environment for FX Options. Designed by FX options traders for real-time performance, with liquidity support from the world’s top interbank market makers. There are 30-40 interbank participants publishing FX options pricing on the platform, either directly or through Tradition’s global FXO brokerage desks. Volbroker is the leader for electronic price transparency and efficiency in the USD 5 trillion currency derivatives market.
What is FX Option contract?	An FX (foreign exchange) option contract is a financial derivative that gives the holder the right, but not the obligation, to exchange a specified amount of one currency for another at a predetermined exchange rate (strike price) on or before a specified expiration date.
Types of FX Option	Call Option: Grants the holder the right to buy a currency pair at the strike price. Put Option: Grants the holder the right to sell a currency pair at the strike price.
What are benefits of Tradition Enhanced FX Options Data Packages ?	145 currency pairs for ATM (At-the-Money) Straddles, including 5, 10, 15, 25 & 35 Delta risk reversals and butterflies. Volatility surfaces running from 1W up to 30 years, depending on currency and liquidity. 3 snaps per day (London, New York and Tokyo closes)
Explain one instrument as an example	AUDCADBF25_1WK=TNMX is Australian Dollar/Canadian Dollar 1Week, 25 Delta Butterfly
Is Historical Data Available?	Yes,Since July 2022

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