Five’s company, six is a crowd

Simon Nursey at Digital Vega explores the optimum number of RFQs for FX options trades with a little game theory


In spot FX, various techniques for achieving best execution have been well examined and are backed by a wealth of research. But in the options world, analysis is more sparse, and often conflicting.

The FX options market is still mostly quoted manually and market impact times are measured in hours not milliseconds, so lag times and internaliser/externaliser models are less of a consideration.

But with so many combinations of strikes, dates, cuts, strategies, and an only partially observable

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