Several sizeable foreign exchange option positions are scheduled to expire at the 10am ET New York cut on Tuesday, according to data provided by the Depository Trust & Clearing Corporation (DTCC).
The DTCC data lists expiries by currency pair and strike. For EUR/USD, options totalling 140 million euros are set to expire at the 1.164 strike, while the spot rate is recorded at 1.1628. A further 122 million euros in options are slated to expire at the 1.1625 strike.
In USD/JPY, the DTCC shows expiries of 231 million dollars at the 159.5 strike, with the spot trading at 159.26. Another block of 240 million dollars is scheduled to expire at the 159.25 strike.
GBP/USD expiries include a 50 million pound block at the 1.347 strike, with the spot at 1.3464, and a larger 175 million pound expiry at the 1.345 strike.
USD/CAD expiries are listed as 85 million dollars at the 1.4135 strike, while the spot rate is 1.3809. An additional 86 million dollars in options are set to expire at the 1.38 strike.
AUD/USD shows expiries of 100 million Australian dollars at the 0.7185 strike, with spot trading at 0.7172, and a larger 201 million Australian dollar block expiring at 0.716.
For NZD/USD the DTCC reports 136 million New Zealand dollars expiring at the 0.5846 strike, with the spot at 0.5843, and a further 153 million New Zealand dollars expiring at the 0.58 strike.
The largest expiry recorded in the DTCC data is in USD/CHF. There are 324 million dollars due to expire at 0.785, which matches the current spot rate listed, and an additional 649 million dollars expiring at 0.784.
Other expiries include USD/SEK, where 330 million dollars are set to expire at the 9.248 strike while the spot is 9.3036, and USD/NOK, which shows a smaller 3 million dollar expiry at 9.3115 with the spot at 9.2558.
The listed figures are drawn directly from DTCC option expiry data for the 10am ET New York cut on Tuesday. The report itemises expiry sizes and strikes alongside contemporaneous spot rates as provided in the DTCC dataset.
Data snapshot (from DTCC):
- EUR/USD - 140 million euros at 1.164; spot 1.1628. Additional 122 million euros at 1.1625.
- USD/JPY - 231 million dollars at 159.5; spot 159.26. Additional 240 million dollars at 159.25.
- GBP/USD - 50 million pounds at 1.347; spot 1.3464. Additional 175 million pounds at 1.345.
- USD/CAD - 85 million dollars at 1.4135; spot 1.3809. Additional 86 million dollars at 1.38.
- AUD/USD - 100 million AUD at 0.7185; spot 0.7172. Additional 201 million AUD at 0.716.
- NZD/USD - 136 million NZD at 0.5846; spot 0.5843. Additional 153 million NZD at 0.58.
- USD/CHF - 324 million dollars at 0.785 (matches spot). Additional 649 million dollars at 0.784.
- USD/SEK - 330 million dollars at 9.248; spot 9.3036.
- USD/NOK - 3 million dollars at 9.3115; spot 9.2558.
This account reproduces the DTCC expiry figures and associated spot rates for the specified New York cut on Tuesday as reported in the DTCC dataset.