Data compiled by the Depository Trust & Clearing Corporation (DTCC) show multiple sizable foreign-exchange option contracts slated to expire at the 10am ET New York cut on Wednesday.
The single largest listed expiry is in USD/CAD, where $328 million in notional options sit at the 1.3805 strike. The spot exchange rate for USD/CAD at the time of the report is 1.3834. In the same pair, an additional $128 million in options is scheduled to expire at the 1.4095 strike.
Euro-dollar expiries are also prominent. In EUR/USD, options totaling 8868 million are due to expire at the 1.1650 level, with the current spot rate recorded at 1.1645. Another block of 8138 million is set to expire at 1.1640.
Australian dollar contracts feature among the notable expiries as well. AUD-denominated options worth AUD 382 million will expire at the 0.7150 strike, compared with a spot AUD/USD price of 0.7136. A further AUD 101 million in options is scheduled to lapse at 0.7125.
USD/JPY expiries include $196 million at 159.50 and $140 million at 159.10. The pair was trading at 159.39 at the time the data were reported.
In sterling-dollar, the DTCC list shows 120 million expiring at 1.3430 and 90 million at 1.3450, while the spot GBP/USD rate stood at 1.3447.
Additional expiries noted in the DTCC output include NZD 80 million at 0.5890 in NZD/USD, with the pair at 0.5900, and $76 million at 0.7850 in USD/CHF, which matches the current spot level cited in the data.
Smaller expiries are scheduled across several Scandinavian and Swiss crosses. These include USD/NOK at strikes 9.2600 ($60 million) and 9.3000 ($35 million); USD/SEK at strikes 9.1800 and 9.2625 (each $60 million); and an additional USD/CHF expiry at 0.7828 for $10 million.
The DTCC figures list each contract by notional amount and strike level for the standard 10am ET New York cut time. The dataset pairs each expiry with the then-current spot rate where available.
Summary
Multiple large FX option expiries are scheduled for the 10am ET New York cut on Wednesday, with the largest notional value concentrated at USD/CAD 1.3805 ($328 million). Other major expiries appear in EUR/USD, AUD/USD, USD/JPY and GBP/USD, with the report providing both strike levels and prevailing spot rates.