# How to break down an FX option P&L?

I am comparing the mark-to-market (MtM) valuations of two risk systems, with respect to FX Options.

My question is can I quantify the difference in MtM given the following:

System1

AUD/JPY, MTM = USD 461,000, Implied Vol. = 11.88%, Vega = USD 82,000, Forward Rate = 97.29 and USD Delta = -15,300,000

System2

AUD/JPY, MTM = USD 406,000, Implied Vol. = 12.14%, Vega = USD 77,000, Forward Rate = 97.81 and USD Delta = -13,600,000

Assuming both systems use Black Scholes, how can I quantify the difference in MtM (in USD) which is USD 55,000 by attributing it to:

• Difference in Implied Volatility and;
• Difference in Forward Rates?

I tried doing this and am still left with a small difference - is it possible to quantify that too?

• It would be very helpful that formulas for forward rate, option price, vega, and delta are provided. Note that, for FX options, in particular, for values and hedge ratios in a currency not directly involved with the exchange rate (e.g., value in USD with option underlying exchange rate AUD/JPY), can be very tricky. – Gordon Jun 19 '15 at 14:01