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Large Option Expiries At NY Cut, O/N Implied Vol Elevated Ahead Of CPI

AUD

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

  • There are several option expiries of interest today, at $0.6300 strike we have $726mn of AUD Puts and at $0.6325 strike there are $340mn of AUD Puts. Also expiring today are a mixture of AUD Calls and Puts at $0.6370 worth $180mn and $300mn of AUD Calls at $0.6385.
  • Overnight implied ATM volatility is a touch elevated however we remain well within recent ranges at 13.33% implying a $0.6302-$0.6409 range today in the aftermath of the Q3 CPI print.
  • The trend in AUD/USD remains bearish, support comes in at $0.6286, low from Oct 3 and bear trigger. Resistance is at $0.6393, high from Oct 18.

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