Forex Option Pricing no longer conforms to Black Scholes

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    Bard
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    Hi,

    I have traded £/$ option for a few yrs but wondered if anyone can tell me why IG option prices fed from UBS Bank have drastically departed from the Black Scholes Pricing model recently (ditto Saxo Bank), which it used to conform with?

    Whilst this is an OTC mkt IG have informed me in the past that they “follow” BSM pricing, which they used to do by and large until some time in 2023 and definitely since Sept 2023, but now:

    Example:

    £/$ Sept 13100’s:
    Call Option mid: 31.
    Put Option 510.

    BSM pricing model price on £/$ Sept 13100’s:
    Call Option 71
    Put Option 343.

    Thanks!

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Forex Option Pricing no longer conforms to Black Scholes


General Trading: Market Analysis & Manual Trading

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Bard @brad Participant
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Forum: General Trading: Market Analysis & Manual Trading
Language: English
Started: 05/22/2024
Status: Active
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