FX Volatility Intelligence
FX Options Greeks & Scenario Simulator
Shock spot and vol against your surface — smile-consistent scenario re-pricing by tenor.
Build a vol surface in the Surface Builder tab first, then return here to simulate vanna/volga scenarios.
About the Greeks & scenarios simulator
The simulator takes the vol surface built on the Surface Builder tab and shows how it re-prices under spot moves and volatility shocks. Slide spot up or down, shock the vol level, and see the 25-delta vols and smile shift by tenor in a scenario matrix — a quick way to understand the vanna and volga exposure embedded in an FX options position.
Because the scenarios run off a Vanna-Volga surface rather than a single flat vol, the re-pricing is smile-consistent: skew and wing curvature respond to the shock instead of staying frozen. Build a surface first — the simulator works from your quotes, not canned data.
Frequently asked questions
What are option Greeks in FX?
Greeks measure how an option's value responds to market changes: delta (spot moves), gamma (the change in delta), vega (implied vol moves), and theta (time passing). FX desks also track second-order Greeks — vanna (how delta changes with vol) and volga (how vega changes with vol) — because the FX smile makes those exposures expensive to ignore.
Why do scenarios need a vol surface instead of one vol number?
When spot or vol moves, different strikes and tenors re-price by different amounts — the smile shifts and tilts rather than moving in parallel. Pricing scenarios off a single flat vol misses that, which is exactly the risk (vanna/volga) that hurts hedged options books. A surface-based scenario keeps the smile dynamics in the answer.
Realized vol computed from daily FX spot history (Twelve Data, with yfinance and FRED fallback). Carry from FRED OECD MEI 3M interbank rates. Positioning from CFTC Traders in Financial Futures (TFF) — free weekly data. Implied vol surface requires user-supplied OTC quotes.
