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Large Expiry At NY Cut Today

AUD

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

  • At $0.6400 strike there is $638mn of AUD Calls and $583mn of AUD Puts expiring today.
  • Overnight implied ATM volatility is well within recent ranges at 13.2925%, implying a $0.6365-$0.6472 range today.
  • On the technical front AUD/USD has breached the 50-Day EMA ($0.6404) this morning as post FOMC pressure on the USD extends in Asia.
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There is a large expiry at NY cut today, based on the latest DTCC data.

  • At $0.6400 strike there is $638mn of AUD Calls and $583mn of AUD Puts expiring today.
  • Overnight implied ATM volatility is well within recent ranges at 13.2925%, implying a $0.6365-$0.6472 range today.
  • On the technical front AUD/USD has breached the 50-Day EMA ($0.6404) this morning as post FOMC pressure on the USD extends in Asia.