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Large 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 $0.6380 there are ~$450mn of AUD Puts, also expiring today is $186mn at $0.64 (a mixture of puts and calls) and $199mn at $0.6425 (also a mixture of puts and calls).
  • The final large expiry is ~$650mn of AUD Calls at $0.6500 strike.
  • Overnight implied volatility is well within recent ranges at 7.4750%, which implies a $0.6375-$0.6481 range today.

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