In this paper, foreign exchange options markets start with an overview of foreign exchange options, since it was launched a few decades of development journey, and describes its investment The internationalization of China's financial markets late, which concerns the development of China's personal foreign exchange options, status and investment channels, and recognize its development is not perfect because the yuan An overview of China's commercial banks sale of foreign exchange options on individual product categories, and a detailed analysis of the costs, benefits and risks lie, we give the Chinese a number of investment advice to individual investors, called for regulators to strengthen supervision of financial derivatives