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Close Expiry At NY Cut

AUD

There is a large expiry at NY cut today, based on the latest DTCC data.

  • At a $0.6350 strike there are a mixture of AUD Calls and Puts totalling $1.161bn.
  • There are also a couple of smaller expiries to note, at $0.6355 there are $183mn of AUD Puts and at $0.6390 there are $100mn of AUD Puts.
  • Overnight implied ATM volatility is slightly elevated at 14.6050% as US CPI is due to cross, implying a $0.6320-$0.6434 range today.

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