American vanilla FX option
An FX call or put with an early-exercise right. Record partial or full exercises and assignments while valuing the remaining quantity separately.
How it works
Call/Put defines the right on the base currency; Buy/Sell identifies holder or writer. OTCValue values the remaining option with a CRR binomial tree using FX spot, forwards, discounting and implied volatility. The model compares exercise and continuation values, but does not automatically record an actual exercise.
Key contract terms
- Currency pair and base-currency notional
- Call/Put and bought/written direction
- Strike, trade date and expiry
- Optional premium and its currency
- Exercise quantity, effective date and accepted FX rate
Payoff: the contractual result
Each exercised bought Call realizes quantity × max(accepted rate − strike, 0); a Put uses max(strike − accepted rate, 0). Written positions reverse the sign. Contract NPV combines realized amounts and remaining option value. Any recorded premium affects total P&L separately.
A simple example
A bought EUR 100,000 Call has strike 1.10 USD per EUR. Exercise EUR 40,000 at an accepted rate of 1.14: USD 1,600 becomes realized contract P&L. EUR 60,000 remains open; its value and any premium must still be included when interpreting total P&L.
Illustrative amounts exclude fees and currency conversion. A payoff is distinct from the instrument's value before maturity.
Lifecycle
- Contract created
- Exercise window
- One or more exercises / assignments
- Remaining quantity at expiry
Effect of an exercise or assignment
Partial quantity
The event realizes its result. The remainder stays open and can be exercised or assigned again.
All remaining quantity
No option quantity remains open. FX exercise realizes a cash-equivalent result without creating a currency position.
- Create the option and value its open quantity during the exercise window.
- The buyer can record exercises and the seller assignments, for all or part of the available notional. Several partial events are possible; each realizes its result and reduces the remainder.
- A full exercise or assignment leaves no open option quantity. Partial events leave a remainder exposed to the market; no currency position is generated.
- Corrections and cancellations retain the event history and recalculate the remaining quantity and results.
- At expiry, any remainder requires the exact terminal rate for final valuation. The calculation does not itself create an exercise event or send an instruction to a counterparty.
Using this instrument in OTCValue
Exercise dates and quantities are checked against the contract and existing events. Data and volatility availability constrain valuation. Without a recorded exercise, remaining exposure continues to expiry. Realized results do not confirm currency delivery or payment; OTCValue does not send exercise instructions to a counterparty.