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Strategies & Market Trends : Booms, Busts, and Recoveries -- Ignore unavailable to you. Want to Upgrade?

To: gumnam who wrote (38224)	9/14/2003 3:46:38 PM
From: Haim R. Branisteanu	Read Replies (1) \| Respond to of 74559

Gumnam, I think that a one year move should be reflected in IV of an one year option. But to have a 2 or 3 week OTC FX option with IV of 11% at a time that the currency moves 5% within a week is not reflective of the actual volatility. Just annualize the 5% week For hedging purposes you can not hedge an financial instrument moving 5% within a week with an option priced at 10% to 11% IV. It makes no difference if it is a spot forward or future transaction. I still wonder why one month stock option are priced at much higher volatility. As to your example what was the % move in QQQ since June this year? I bet ya' less that the UDX which moved almost 10% ver. the EUR and that is my point. FX option should be priced similar to stock indexes IMHO