The article deals with determinants of prices of foreign exchange options in Poland. The main factor having influence on the option´s premium (apart from forward price of the underlying) is implied volatility. Implied volatility is taken directly from interbank market and is actively traded through straddle strategies. According to Black-Scholes assumptions, volatility is uncorrelated with price of the underlying instrument. Against these assumptions we observe significant correlation between moves in Polish zloty swings and changes of the implied volatility used for pricing of the "at the money" options. The weaker is zloty, the higher volatility is expected by the market. On the other hand strengthening of the Polish currency evokes downside shift in the volatility curve.

The main variable which consists independent information about strength of Polish currency is so called "PLN bias" (deviation of Polish zloty against currency basket). The model described in the article tries to explain relationship between the bias and the volatility in various points of the volatility curve. Estimated coefficients of the model prove the high asymmetry of risk on the Polish market. This feature is typical for majority of contemporary emerging markets.