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.