Foreign exchange options for a number of principal currency pairs are set to mature at 10am ET today, based on position files from the Depository Trust & Clearing Corporation (DTCC). The expiries cover a mix of euro, dollar, pound, Australian dollar and New Zealand dollar-denominated contracts concentrated at nearby strike levels, with spot quotes near several of those strikes.
For the EUR/USD pair, DTCC data shows option positions amounting to 320 million euros at the 1.142 strike. The spot rate is recorded at 1.1419. In addition, options totalling 1.165 billion euros are slated to expire at the 1.141 strike.
USD/JPY option expiries include contracts valued at 130 million dollars positioned at the 161.75 strike, while the prevailing spot rate is 161.63. A larger block of options, equal to 1.235 billion dollars, is scheduled to expire at the 161.5 strike.
On GBP/USD, the DTCC shows option positions of 390 million pounds at the 1.325 strike, with the spot rate at 1.3215. Additional options worth 400 million pounds will expire at the 1.321 strike.
USD/CAD expiries comprise options totalling 267 million dollars at the 1.42 strike, compared with a spot rate of 1.4177. Options valued at 229 million dollars are set to lapse at the 1.41 strike.
For AUD/USD, positions include options worth 134 million Australian dollars at the 0.693 strike, while the spot rate stands at 0.6905. A larger tranche of options, equal to 532 million Australian dollars, is scheduled to expire at the 0.69 strike.
NZD/USD option expiries reported by the DTCC show contracts totalling 70 million New Zealand dollars at the 0.572 strike, with the spot rate at 0.5652. Options amounting to 550 million New Zealand dollars are positioned at the 0.5625 strike.
The DTCC position report provides a snapshot of concentrated option notional at specific strikes and the nearby market levels as these contracts approach expiry. Market participants monitoring intraday flows and near-term liquidity will note the clusters of notional around strikes that are close to the current spot for several pairs.
Data source: Depository Trust & Clearing Corporation position files.