Building the FX Vol Surface with Quant Insider

MASTERCLASS - Building the FX Volatility Surface: From Delta Quotes to Dynamic Hedging (Recorded Lecture)

FX options are quoted in delta, not strike. This Masterclass teaches how to build and use an FX volatility surface from the conventions used in live markets.

We have covered

1. FX Quoting Mechanics: How the market quotes delta instead of strike (ATM, risk reversals, butterflies), and the closed-form math required to invert them.
2. Vanna-Volga Replication: A 3-pillar technique to interpolate the smile. It is exact at the pillars but naturally unstable when extrapolated past the 5–95 delta range.
3. Local Vol vs. SABR: Dupire’s local vol provides an exact market fit but suffers from wing fragility; SABR offers smoother, stable, and dynamic spot-vol correlations.
4. Hedging Regimes: Sticky-strike vs. sticky-delta models. Choosing a regime isn't cosmetic—it fundamentally alters your dynamic hedge ratio via the vanna effect

About the Speaker

Francesco Pozzetti is a Quantitative Researcher on the proprietary trading desk at Alpiq, where he works on energy derivatives.

Previously, he was a VP in FX Options Quantitative Research at Deutsche Bank, working on options and volatility strategies.

Francesco has also developed alternative risk-premia strategies across commodities and cross-asset volatility at Fortem Capital, and worked in electronic fixed-income trading analytics at NatWest Markets, covering market microstructure and interest-rate derivatives modelling.

He holds a BA in Mathematics and an MSc in Mathematical and Computational Finance from the University of Oxford.

This Masterclass is for Quant researchers, traders, risk professionals and developers working with FX options, volatility or derivatives.

Also suitable for students and early-career quants with a working knowledge of options and Greeks.