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GFI Announces FENICS FX Update, Bank of America Data Deal

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NEW YORK (–GFI Group Inc., an inter-dealer broker specializing in over-the-counter derivatives and related securities, released FENICS FX 9.1 this month. This is the latest version of the FENICS FX platform for pricing, analyzing and managing currency exchange options.

The improvements in 9.1 include calculations for European “barrier” options and enhanced volatility interpolations, as well as new sales and risk functions such as margin fields and improved reporting of “distributed Greeks,” the statement said. A spokesman at GFI said that by the distribution of Greeks the company refers to the way in which measures such as vega (the sensitivity of option price to a constant change in volatility) can be rendered equivalent from one basket to another, so that a trader can use six-month options to hedge one-month option risk.

A barrier option is an option contract that remains dormant until a trigger point (the barrier price) is reached, at which point a call or put option is activated and results either in a long or short options position or in the automatic exercise of a position. The valuation of such contracts is difficult because of the number of variables involved.

GFI also has announced that its FENICS FX clients now have access to Bank of America volatility surfaces.

“We’re delighted to partner with a firm of Bank of America’s caliber to provide its FX options information to our clients,” said Scott Fitzgerald, global head of sales at GFI, in a statement.

“Our objective continues to be based on providing better technology and a better decision support environment for our clients.”

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Contact Bob Keane with questions or comments at: [email protected].