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FX Delta Conventions for EUR/PLN and EUR/USD Volatility Surfaces

Article Quant Q&A · Author: 4pie0
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Summary

The document raises a market-convention question about quoting delta and term pairs on FX volatility surfaces for EUR/PLN and EUR/USD. It suggests that EUR/PLN may use forward delta throughout, while EUR/USD may use spot delta through one year and forward delta for longer expiries. The author is unsure whether these conventions are correct, particularly for EUR/PLN.

No answer, market source, calculation, or empirical comparison is provided, so the proposed conventions remain unverified. The note is useful as a reminder that currency-pair volatility surfaces can involve quote conventions that vary by pair and tenor, and that mismatched delta definitions can affect surface interpretation. It does not explain how to convert between delta types or establish a definitive convention.

Key ideas

  • FX volatility surfaces may use different delta conventions across currency pairs.
  • The note proposes forward delta for EUR/PLN, but leaves this uncertain.
  • It proposes spot delta for shorter EUR/USD tenors and forward delta for longer ones.
  • The document provides no evidence or resolution of the convention question.

Tags

ForexOptionsVolatilityDerivatives pricing
Full text
# EUR/PLN and EUR/USD delta-term-vol surface quoting convension


# EUR/PLN and EUR/USD delta-term-vol surface quoting convension












does anyone know for sure what is the FX market convension to quote delta-term pairs for EUR/PLN, for EUR/USD. I know that for EUR/PLN it should be delta p.a forward, for EUR/USD it should be delta spot to 1y and delta fwd from 1y ahead. but I am not sure from my results, particularly for EUR/PLN pair.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.