Rise in vol sparks FVA trading
LONDON & PARIS – SuperDerivatives will introduce a pricing screen for forwards volatility agreements (FVA) over foreign exchange pricing platform SD-FX by the first quarter of next year.
FVAs are forwards contracts that enable traders to trade the difference between the implied volatility of a currency pair on a specific date and its forward implied volatility, as signalled by the volatility curve. Implied volatility is calculated from the price of options, extracted using options pricing models
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