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Large Expiry At NY Cut

AUD

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

  • At a $0.6450 strike there are $2.446bn worth of AUD Calls expiring today, the majority of the options have been dealt this week.
  • Overnight implied ATM volatility is well within recent ranges at 9.4350%, implying a $0.6366-$0.6492 range today.
  • Technically short term gains in AUD/USD are considered corrective. Resistance comes in at $0.6456, high from Nov 2, and $0.6501, high from Sep 29. Support is at $0.6270, low from Oct 26 and bear trigger.

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