FX Option Terms Help

[Whetstone]

I need help with how to price FX options.
I see this story on the DJ news but I am a bit lost as how to plug the numbers into a pricing formula.
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"Volatilities implied by USD/JPY currency options were lower Mon in NY as the dollar continues to trade around Y108.
One-month at-the-money USD/JPY options implied volatilities were at 10.80%/11.30% down from 11.20%/11.55% in Tokyo
and from 11.20%/11.70% in NY Fri. One month EUR/USD implied vols were at 10.10%/10.50% from 10.20%/10.55% in Tokyo
and from 10.50%/10.90% in NY Fri. One month EUR/JPY implied vols were at 9.50%/10.10% from 9.90%/10.60% in Tokyo
and 10.60%/11.0% in NY Fri. One-month quarter delta risk-reversals for USD puts/JPY calls were at 1.40%/2.10% versus
1.65%/2.15% in Tokyo and 1.50%/2.10% in NY Fri.(YUS)"
-- Dow Jones
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I don't understand what the "10.80%/11.30%" syntax is all about.

This is what I think I understand:
T= One month
S=K (at the money) 108
Underlying = USD and JPY
Implied Vol USD(10.80%)/JPY(11.30%)

But now what?

Any pointers, url's, guidance would be appreciated. Thank in advance.

 

[doug reich]

I believe the two volatilities are calculated using the bid and ask.

EDIT: Looking more closely using bloomberg, I think it's based on both the bid/ask and the different rates in the two currencies.

That is, you use the Black Scholes formula, but you would change RFR to reflect the local risk free rate (JPY is about .6% and USD is about 2%), and use the spot and strike prices available in the direction you're looking at.

 

[Whetstone]

Oh I see this part...
don't understand what the "10.80%/11.30%" syntax is all about.

I use 10.80 to price the call and 11.30 to price the put