FX Option Implied Volatility Curves

1. Currency Pair 

USD.CNY 

2. Types of Volatilities 

ATM, 25D CALL, 25D PUT, 10D CALL, 10D PUT, 25D RR, 25D BF, 10D RR, 10D BF 

3. Tenors 

1D, 1W, 2W, 3W, 1M, 2M, 3M, 6M, 9M, 1Y, 18M, 2Y, 3Y 

4. Calculation Method 

Firstly, effective volatility quotes for volatility types, including ATM, 25D RR, 25D BF, 10D RR and 10D BF, are extracted from the CFETS FX trading system before each releasing time. If the number of quotes for each volatility type at each tenor is greater than 6, the highest and lowest quotes are eliminated before the average volatility values of each volatility type (including ATM, 25D RR, 25D BF, 10D RR and 10D BF) are generated. If the number of quotes for each volatility type at each tenor is no greater than 6, the average volatility values of each volatility type (including ATM, 25D RR, 25D BF, 10D RR and 10D BF) are generated directly from volatility quotes. Then, the volatility values for 25D CALL, 25D PUT, 10D CALL and 10D PUT are implied from the average volatility values of ATM, 25D RR, 25D BF, 10D RR and 10D BF. 

5. Calculation Frequency 

The curve is calculated on each trading day at 10:00, 11:00, 14:00, 15:00 and 16:00.