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Expiries for Jul12 NY cut 1000ET (Source DTCC)


Larger FX options rolling off at the NY cut later today include sizeable strikes layered just below spot in EUR/USD:

  • EUR/USD: $1.0775(E547mln), $1.0780-00(E2.6bln), $1.0900(E599mln), $1.0935-55(E1.1bln), $1.0985-00(E1.3bln)
  • EUR/JPY: Y156.00(E891mln)
  • USD/CNY: Cny7.2300($816mln)

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