FX Options – Essentials to Exotics

ACF Academy
Training overview
Professional Course
2 days
From 1,825 GBP
2,300 USD

Start dates
New York City
2,300 USD

1,825 GBP

Course description

FX Options – Essentials to Exotics

This intensive two-day seminar takes you from the essentials of FX options through to exotics, showing the practical use of FX options, as well as the risk management of an FX options.

After attending the program, participants will have mastered the concepts and practices of FX options, be confident in handling products ranging from vanilla options to exotics, and will return able to make an immediate and effective contribution to the management and control of currency risk through the use of FX options.

Who should attend?

Who Should Attend

Anyone working in FX or currency sales and trading, or those advising clients on managing their FX risk.


A good working knowledge of the FX spot and forward markets.

Training content

Principles and Characteristics of FX Options

  • FX option trading conventions
  • An intuitive insight into option pricing
  • FX options pricing workshop
  • FX options: American vs. European style
  • Call-put parity
  • Significance of volatility
  • Historic, implied, experienced volatility
  • Volatility smiles and skews
  • Measures of option price sensitivity – delta, theta, vega, gamma
  • "Greeks" workshop
  • Quoting FX options using volatility
  • Risk reversals
  • Implications from risk reversal prices

Building Option Portfolios

  • Horizontal, vertical, and diagonal spreads
  • Straddles and strangles
  • Ratio spreads and backspreads
  • Designing your own structure – a fluent transition between payoff diagrams and component parts

Hedging and Financial Engineering with FX Options

  • Comparison of using in-, at- and out-of-the-money options
  • True cost of options hedging – time value
  • Hedging techniques using short option positions
  • Creating and using collars or risk reversals
  • Creating and using spreads
  • Zero-premium hedges
  • Creating and using zero-cost collars
  • Creating and using participating forwards
  • Deferred and embedded premiums
  • Creating and using break-forwards
  • The "continuum" from in-the-money to out-of-the-money options
  • Hedging FX risk
  • Financial Engineering with Currency Options

Option Trading Strategies

  • Directional vs. volatility trading
  • Directional trading strategies
  • Near vs. far dates
  • Out-of-the-money vs. in-the-money
  • Options vs. cash
  • Volatility trading strategies
  • Directional and volatility trading with currency options

Delta Hedging – Theory and Practice

  • Exactly how delta-hedging works
  • Why be delta-neutral?
  • Buying high and selling low to achieve delta-neutrality
  • The link between delta and gamma
  • The cost of being negative gamma
  • The benefit of being positive theta
  • The link between gamma and theta
  • The trade-off between implied volatility and experienced volatility
  • The link between theta and vega
  • "Easy" and "difficult" options to hedge
  • Gamma hedging
  • Transactions costs
  • How often do we re-hedge?
  • Market gapping problems
  • P&L risks while running an options book
  • The cost of hedging and running an options book
  • Delta-hedging simulation

Overview of Exotic FX Options

  • Introduction to exotic options
  • Path-dependent options
  • Options with step-like (singular) payouts
  • Correlation products
  • Other exotics: compound and forward-start

Barrier Options

  • Up, down, knock-in, and knock-out – variations on a theme
  • Barriers with rebates
  • Normal and partial (window) barriers
  • Single, double, and multiple barriers
  • Outside barriers
  • Curvilinear barriers
  • Practical issues in monitoring the barrier
  • Practical applications for barrier options in hedging financial risk
  • Barrier Option Pricing Workshop
  • Using FX barrier options
  • Risk characteristics of barrier options

Digital Options and the "Digital Cookbook"

  • One-touch, all-or-nothing – variations on a theme
  • Cash-or-nothing and asset-or-nothing
  • Digital options as a basic building block
  • Creating a pay-later option
  • Creating a reverse contingent option
  • Creating a "money back" option
  • Creating a stepped-premium option
  • Creating enhanced-rate synthetic forwards
  • Digital Options Pricing Exercises
  • Using Pay Later Options
  • Risk characteristics of digitals

Putting it All Together

  • Review of structures, barriers, and digitals
  • Combining exotics with vanilla options
  • Embedding options within a package
  • Designing innovative solutions
  • Reducing the cost of client hedges
  • Exotic options structuring exercise


  • New York: $2,300
  • London: £1,825 (plus VAT)
  • Virtual: £1,575 (plus VAT)

Certification / Credits

CPD: 14 hours

Learning Outcomes

By attending this course, you will:

  • Understand the behaviour and characteristics of options, and how FX options differ from other financial products like forwards
  • Explore the practical use of exotic, non-standard, and second-generation options
  • See how vanilla and exotic options can be combined to build targeted hedges, or to exploit specific views of the market
  • Reconcile the risk-reduction needs of clients buying option products with the risk-management needs of banks selling option products
  • Experience the issues arising in the active hedging of derivatives, and the practical problems faced by traders in managing a book of options
  • Develop an innovative and pro-active approach to the handling of FX risk exposures
  • Gain extensive first-hand experience with computer-based strategy evaluation, graphics, analytics, option pricing, and simulation

Why choose ACF Academy?

Over 100,000 professionals trained globally

Award-winning practical financial simulations

Consistently high ratings

About ACF Academy

ACF Academy

ACF Consultants are a global leader in providing practical and effective training for financial professionals. Leading banks, companies and financial institutions from all over the world partner with us to develop their people to achieve their goals. They trust our...

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ACF Academy

28 King Street
EC2V 8EH London

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