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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 $0.6350 there are $500mn of AUD puts expiring today. There is also $335mn of AUD calls and puts at $0.6400.
  • Slightly further out-of-the-money we have $311mn of AUD puts at $0.6200.
  • Overnight implied ATM volatility is a touch elevated however we remain well within recent ranges at 13.1450% implying a $0.6283-$0.6388 range today.

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