FX Option Price Scenario Calculator
Reprice one entered European currency call or put under a changed spot rate, remaining time and flat annualized volatility, then compare that theoretical scenario value with the premium you entered for a long or short position. No option chain, live close quote or volatility surface is connected.
Enter the current case and one future scenario
Use quote currency per one base-currency unit throughout. The scenario must retain at least one day to expiry; use the separate expiry-profit tool when time value has ended.
Before-expiry model price scenario
Derived from FX Option Scenario, Parity and Greeks model 1.0.0.
How the before-expiry FX option scenario is calculated
The model first prices the selected European call or put twice through the same Garman-Kohlhagen engine. Both valuations use the entered strike, quote- and base-currency continuous rates and year basis. The current valuation uses current spot, current flat volatility and current days. The second valuation replaces those three state variables with the scenario entries.
The entered premium is the scenario P&L cost basis. The current theoretical premium is shown as a reference but does not overwrite what you paid or received. This distinction matters when an actual premium contains spread, dealer adjustments, smile effects or market conditions that a constant-volatility model does not reproduce.
A long position gains in this narrow arithmetic when the scenario model premium exceeds the entered premium by more than the entered closeout cost. A short position reverses the premium change, while the closeout cost still reduces the result. The calculation does not model margin, collateral, assignment, exercise or losses caused by forced liquidation.
Scenario days cannot exceed current days because the route represents movement forward through time. At least one day must remain. At expiry, time value is zero and intrinsic payoff is the appropriate calculation, so the Forex Option Profit Calculator retains that separate user job.
Volatility is an annualized flat input for each state. Changing it does not predict that the market will adopt that value, and holding it unchanged does not imply a sticky-strike or sticky-delta rule. A real volatility surface can move differently across tenor, strike and delta, so a professional scenario may require a full surface and contract-specific conventions.
The scenario delta, gamma and vega are local analytical sensitivities at the second model state. They are diagnostics, not guaranteed price changes. Delta is unadjusted spot delta, gamma is per one full spot-rate unit, and vega is the total quote-currency change for a one-percentage-point volatility move under a local approximation.
Worked example from the audited fixture
The audited fixture enters a long EUR/USD call with spot 1.10000, strike 1.12000, 4% USD quote-currency continuous rate, 2% EUR base-currency continuous rate, 12% current volatility, 180 current days and EUR 100,000 notional. The entered premium is USD 0.0324689310779 per EUR.
The scenario changes spot to 1.15000, flat volatility to 14% and remaining time to 90 days. The model premium becomes USD 0.05203362 per EUR, versus the entered premium of USD 0.03246893, for gross scenario P&L of USD 1,956.47 on the long position.
After USD 75 entered closeout cost, net scenario P&L is USD 1,881.47. The scenario spot delta is 0.68311392 and total vega for one volatility point is USD 201.45. These are conditional model outputs, not live close values.
How to interpret the result
- Read the primary result as one conditional mark-to-model scenario, not expected profit, a price target or a probability-weighted return.
- Check the entered premium unit before interpreting P&L. It must be quote currency per one base-currency unit, not total cash, percent of notional or base-currency premium.
- Compare the current model premium with the entered premium to see whether the model already differs from the real cost basis before the scenario changes.
- Change one assumption at a time when you want to understand a specific sensitivity; changing spot, volatility and time together produces a joint scenario whose drivers cannot be separated by the headline result.
- Treat a short-option gain as model arithmetic only. Short-option collateral, path risk, gap exposure and provider liquidation rules can dominate the displayed closeout scenario.
- Use the expiry-profit route for zero-time payoff and the IV route when the job is to solve volatility from an entered market premium.
Which FX option analysis tool answers which question?
These tools share governed European FX-option arithmetic but keep three different user jobs separate. A scenario changes one option state, parity checks matched premiums, and portfolio Greeks aggregate local multi-leg exposures.
| Tool | Required entered data | Output | Hard boundary |
|---|---|---|---|
| Price scenario | One option, entered premium and two model states | Before-expiry model P&L scenario | No forecast or executable close |
| Put-call parity | Matched call/put premiums, spot, strike, rates and time | Discounted consistency residual | No executable-arbitrage verdict |
| Portfolio Greeks | Shared pair state plus one to twenty option legs | Signed premium, delta, gamma and vega | No account retrieval or hedge instruction |
Assumptions and limitations
- No live spot, option chain, bid, ask, mid, volatility surface, yield curve, account, position, order or executable close price is connected.
- The model assumes European exercise, lognormal spot, constant continuously compounded rates and one flat volatility at each state.
- Smile dynamics, stochastic volatility or rates, jumps, barriers, early exercise, credit, collateral, liquidity, funding and dealer adjustments are excluded.
- Only one future state is evaluated. No path, probability, confidence interval, expected value, stress distribution or scenario likelihood is calculated.
- Entered closeout cost is one total quote-currency amount. Spread, commission, tax, exercise, assignment, conversion and funding not entered remain excluded.
- No option, strike, volatility, scenario, side, closeout, hedge, provider, broker, signal, forecast or trade is recommended.
Sources and methodology
The arithmetic is independently fixture-tested. These primary references define formulas and sensitivity meanings; they do not verify an entered premium, quote, contract, provider, position or market timestamp.
- LCH — Options Valuation Formulas — Primary clearing methodology for Garman-Kohlhagen FX-option valuation and analytical Greeks.
- Garman and Kohlhagen — Foreign Currency Option Values — Original research reference for the two-rate European currency-option framework.
- CME Group — Options Premium and the Greeks — Primary-market education reference for premium components and local option sensitivities.
Frequently asked questions
- It reprices one entered European call or put under a second spot, remaining-time and flat-volatility state, then compares that model value with an entered premium.
- No. It is a constant-volatility model output with no option chain, bid, ask, liquidity or dealer adjustment.
- The current model value provides a consistent baseline, while the scenario value shows the same model under changed state assumptions.
- No. This route represents forward time movement, so scenario days must be at least one and no greater than current days.
- No. Use the Forex Option Profit Calculator for expiry intrinsic payoff after time value has ended.
- No. The output has no probability and does not forecast spot, volatility or execution.
- Long uses the scenario premium minus entered premium; short reverses that difference. Entered closeout cost reduces both.
- No. They are local model diagnostics at the entered scenario and omit executable hedge quantities, smile dynamics and transaction costs.
Separate scenario repricing from expiry payoff and volatility inversion
Compare Top Forex Brokers
Before comparing a model result with any broker or provider, confirm whether the product is offered in your jurisdiction and verify the option style, premium unit, notional, expiry, settlement, spreads, commission, collateral and risk disclosures.
Risk and affiliate disclosure: Leveraged forex and CFD trading can result in substantial losses. Options can expire worthless, and short options can have substantial or unbounded model losses. These are affiliate links, so ForexMT4Indicators.com may receive compensation if you register or trade through them, at no additional cost to you. Availability and terms vary by jurisdiction and broker entity.