Assuming I have a USDJPY put option at strike 100 (1USD = 100Yen) and the delta is D1. What is the delta of a corresponding JPYUSD call option at strike 0.01 (1Yen = 0.01USD) with the same maturity? Would it be related to D1?

Thank you very much!

  • $\begingroup$ The two deltas add up to one. Just like the deltas of a put and a call with same strike add up to one. The call on JPYUSD can be seen as a put on USDJPY. $\endgroup$
    – Alex C
    Oct 15, 2016 at 19:42

1 Answer 1


Since I'm not a FX guru I need to prove the comment of @alex c

A USDJPY 100 call on one dollar has payoff:

max(0, FX-100) Yen

where FX=USDJPY at maturity. A JPYUSD 0.01 call on one Yen has payoff

max(0, 1/FX - 0.01) Dollars = 0.01/FX * max(0,100 - FX) Dollars = 0.01 * max(0,100 - FX) Yen

which is the same as a USDJPY 100 put on 0.01 dollars, as suggested.


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.