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Close Option Expiries At NY Cut

AUD

There are a number of close option expiries at NY cut today, based on the latest DTCC data.

  • At a $0.65 strike there are ~$1bn of AUD Call options. At $0.6450 there are $410mn of AUD Puts and at $0.6448 we have $297mn of AUD Calls.
  • AUD/USD Overnight Implied Volatility is slightly elevated, albeit well within recent ranges, at 13.10% as option markets price in a $0.6389-$0.6497 range today.

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