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A currency option will be worthless if it is otm or atm on its expiration date. therefore, the holder will allow the option to expire. intrinsic value. the intrinsic value is the amount of money we could realize through exercising our option, under the assumption that the fx spot rate will equal the current rate on the expiration date. the reason is that the time value will always be zero when. The essentials forex options of forex options for foreign exchange risk management. an option to sell currency is called a put option: an option to buy currency is a call option. however, in the fx world, every transaction involves both the purchase and sale of a currency. Such options are also often known as plain vanilla or just vanilla currency options to distinguish them from the more exotic option varieties covered in a later section of this course. the most common style traded in the over-the-counter or otc forex market is the european-style option. Currencyoptions or forex options give t...