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Large Option Expiry At NY Cut

NZD

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

  • At a $0.5800 strike there are $640mn of NZD Puts expiring today.
  • In recent dealing NZD/USD has broken support at the $0.58 handle as weakness in US Equity Futures and spillover pressure from the AUD as RBA Gov Bullocks speaks weighs.
  • Overnight implied ATM volatility is a touch elevated but within recent ranges at 11.74% implying a $0.5749-$0.5837 range today.

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