Skip to content
All library documents

FX Volatility Surface Tenors and Currency Value Dates

Article Quant Q&A · Author: acchan94
Read the original

Summary

The document explains how foreign exchange volatility surface expiries are dated relative to currency settlement conventions. It distinguishes weekly tenors, which are counted from the current date, from monthly and yearly tenors, which are counted from the spot value date and then adjusted back by two days. Business-day adjustments also apply, so a quoted tenor does not always correspond to a simple calendar interval from today.

The note provides a compact convention summary, but no worked examples, market-specific calendars, or discussion of exceptions. The exact dates therefore depend on the currency pair’s spot lag and applicable holiday and business-day rules. Traders or researchers constructing FX volatility surfaces should confirm the conventions for the relevant pair and tenor rather than treating all expiries as starting from the same date.

Key ideas

  • Weekly FX option expiries are counted from the current date before business-day adjustments.
  • Monthly and yearly expiries are based on the spot value date, with the stated two-day offset applied.
  • Currency-pair settlement conventions affect the calendar date represented by a volatility surface tenor.
  • Business-day adjustments are required when mapping a quoted tenor to an expiry.

Tags

ForexVolatilityOptions
Full text
# Volatility surface tenors


# Volatility surface tenors












I don't think this has been asked before, but are the tenors on a volatility surface out of spot date for the currency pair or out of value T+0?

## Answer by Antoine Conze (score 1)

https://quant.stackexchange.com/a/44314

See https://en.wikipedia.org/wiki/Foreign_exchange_date_conventions for details. In summary expiry = T+tenor for weekly tenors and expiry = ((T+2)+tenor)-2 for monthly and yearly tenors, with all the appropriate business day adjustments.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

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