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Large Expiries At NY Cut

AUD

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

  • At a $0.6330 strike there are $346mn of AUD Puts expiring today, also at a $0.6360 strike there is a mixture of AUD Calls and Puts totalling $232mn. Also due are mixtures of AUD Calls and Puts at $0.6400 ($157mn) and $0.6415 ($207mn).
  • Overnight implied ATM volatility is well within recent ranges at 10.6175% implying a $0.6322-$0.6413 range today.
  • Technically the trend outlook is bearish, support comes in at $0.6270 low from Oct 26 and key support. Resistance comes in at $0.6411, 50-Day EMA.

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