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Markets Wary of Sizeable Build in EUR Options Interest for Friday Cut

EUR
  • Early dose of equity outperformance helps the e-mini S&P show through yesterday late highs to narrow the gap with the cycle best printed on Feb12 at 5066.50.
  • Little directional read-through for the USD on the move in stocks, with markets particularly wary of the stacked option expiry slate for the Friday cut - interest has been building sharply in option strikes layered between $1.07 to $1.08 as the week progressed - we note E9.6bln notional is set to roll-off between $1.0725 and $1.0800 today - interest that has doubled since Monday of this week.
  • Such a sizeable options pipeline could contain and define the spot range across the Friday session - with just US PPI and speeches from Fed's Barkin & Barr to influence prices.

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