CFETS publishes FX option Delta pricing parameters daily.

1. Calculation Methods

Delta of call option :

Delta of put option:

2. Definitions of Pricing Parameters

(FX Spot exchange rate): CNY Central Parity Rate, Mean Quote Rate of OTC FX Spot Market.

(volatility): USD.CNY FX option implied volatility curve.

(CNY interest rate): Shibor, Shibor/Shibor3M IRS Closing Curve, Fixing Repo Rate/FR007 IRS Closing Curve.

(USD interest rate): implied USD interest rate curve.

(tenor)from trade date to expiry date.

(tenor)from spot date to delivery date.

(strike price): accordingly.

3. Publishing Frequency

The daily data will be published at 17:00 on each working day.