FX Strangle Market Conventions
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Info on Risk Reversals for context In the FX vanilla options market buying risk reversal involves selling a lower strike put and buying a higher strike call. The price of such a structure is a volatility spread . Thus, if we assume the existence of a delta-volatility smile function , which has the appropriate abilities to convert deltas to strikes and vice versa then one can easily use that Smile to price the following Risk Reversals : a) -25d put with vol 8.9% and a 25d call with vol 10.15% = R