1. Currency Pair 

USD.CNY 

2. Types of Volatilities 

ATM, 25D CALL, 25D PUT, 10D CALL, 10D PUT, 25D RR, 25D BF, 10D RR, 10D BF 

3. Tenors 

1D, 1W, 2W, 3W, 1M, 2M, 3M, 6M, 9M, 1Y, 18M, 2Y, 3Y 

4. Calculation Method 

The samples for FX option vol curve include transaction volatility from CFETS FX trading system, quotes from brokers, bilateral quotes from CFETS FX trading system.

1.Caculate the representative bilateral quotes

Effective volatility quotes for volatility types, including ATM, 25D RR, 25D BF, 10D RR and 10D BF, are extracted from the CFETS FX trading system before each releasing time.If the number of quotes for each volatility type at each tenor is greater than 6, the highest and lowest quotes are eliminated before the average volatility values of each volatility type (including ATM, 25D RR, 25D BF, 10D RR and 10D BF) are generated. If the number of quotes for each volatility type at each tenor is not greater than 6, the average volatility values of each volatility type (including ATM, 25D RR, 25D BF, 10D RR and 10D BF) are generated directly from volatility quotes.

2.Get reasonable quotes from brokers

Filter the latest volatility quotes from brokers for ATM, 25D RR, 25D BF, 10D RR and 10D BF volatility types if available.

3.Construct bilateral ATM25D RR25D BF10D RR10D BF volatility curves

For a specific tenor, reasonable quotes from brokers will be preferred unless these quotes are not provided or the bid-ask spread is wide. In this situation, the bilateral volatility curves would be based on bilateral quotes from CFETS FX trading system.

If some transaction volatility values are within above bilateral volatility curves, the weighted average transaction volatility would be regarded as the volatility representative. Otherwise, the volatility representative price would be calculated by taking the average of the current quoted bid and ask volatility.

4. Caculate 25D CALL25D PUT10D CALL10D PUT volatility curves

Use ATM25D RR25D BF10D RR10D BF volatility curves to calculate 25D CALL25D PUT10D CALL10D PUT volatility curves.

5. Calculation Frequency 

The curve is calculated on each trading day at 10:00, 11:00, 14:00, 15:00 and 16:00.