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OPTIONS: Sizeable Strikes in USD/JPY Could Limit Further Losses in Spot Today

OPTIONS
  • For USD/JPY, mixed call/put notional of $1.4bln rolling off between 154.95-00 could limit losses in spot today - particularly with the pair having bottomed out somewhat this morning. GBP/USD eyes $290mln of puts expiring at 1.2885-88 today, although £470mln at 0.84 in EUR/GBP could provide a counter.
  • Meanwhile, EUR weakness off last week's highs have spot clear of the most notable expiries set to roll off at today's cut - with the $3.2bln at 1.0990 unlikely to feature. $1.7bln in AUD/USD rolls off at the $0.66 handle today, while USD/CAD's pipeline is crowded to capture post-BoC price action - with the most salient strikes at: 
    • 1.3785-00 (C$277mln)
    • 1.3730-50 (C$613mln)
    • 1.3680-00(C$431mln)

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