Foreign exchange option expiries as of May 11, New York Cut at 10:00 Eastern Time, as sourced via The Depository Trust & Clearing Corporation (DTCC), are detailed below.
For EUR/USD, key EUR amounts are expiring at the following rates:
– 1.0895-1.0900 with a notional size of €1.7b
– 1.0925 with a notional size of €1.7b
– 1.0950 with a notional size of €1.1b
– 1.0985 with a notional size of €1.5b
– 1.1000 with a notional size of €1.5b
– 1.1040-50 with a notional size of €1.4b
– 1.1100 with a notional size of €1.3b
For GBP/USD, key GBP amounts are expiring at the following rates:
– 1.2435 with a notional size of £485m
– 1.2550-65 with a notional size of £300m
For USD/JPY, key USD amounts are expiring at the following rates:
– 133.00 with a notional size of $514m
– 134.00 with a notional size of $909m
– 134.65-75 with a notional size of $630m
– 135.00 with a notional size of $441m
– 135.15-25 with a notional size of $800m
– 135.55 with a notional size of $561m
For USD/CHF, key USD amounts are expiring at the following rates:
– 0.8800 with a notional size of $240m
– 0.8840 with a notional size of $446m
– 0.9000 with a notional size of $224m
For AUD/USD, key AUD amounts are expiring at the following rates:
– 0.6650-60 with a notional size of AUD1.1b
– 0.6725 with a notional size of AUD0.25b
– 0.6750 with a notional size of AUD0.408b
– 0.6800 with a notional size of AUD0.660b
No significant expiries have been reported for USD/CAD and EUR/JPY as of the May 11 New York Cut.
FX option expirations can significantly impact currency markets when the expiries are of a large notional size. Essentially, FX options provide the buyer with the right, but not the obligation, to buy or sell a specific currency pair at a predetermined price on a specified date. As the designated expiry date approaches, option holders may adjust their positions leading up to the expiry, which may result in market volatility.
All option expiries are listed contingent on the New York Cut at 10:00 Eastern Time (ET). The New York Cut is the time at which currency options expire, and it coincides with the morning New York fixing time at 10:00 ET. Following the New York Cut, all outstanding currency options cease to exist, and the right to exercise these options no longer exists.
The Depository Trust & Clearing Corporation, a financial services corporation that provides clearing and settlement services for the global financial markets, provides this data on a daily basis. It is an essential resource for market participants as it collates option expirations and presents them in a clear and concise format. This information is vital for FX option traders and companies with significant currency exposure that require it for risk management purposes.