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

Five-is-company-six-is-a-crowd

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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact customer services - www.fx-markets.com/static/contact-us, or view our subscription options here: https://subscriptions.fx-markets.com/subscribe

You are currently unable to copy this content. Please contact info@fx-markets.com to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to FX Markets? View our subscription options

You need to sign in to use this feature. If you don’t have a FX Markets account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: