Option Expiry:
EUR/USD
- 1.1800 (EUR 737.28 million)
- 1.1755 (EUR 565.70 million)
- 1.1700 (EUR 664.57 million)
- 1.1600 (EUR 935.93 million)
USD/JPY
GBP/USD
- 1.3415 (GBP 421.17 million)
- 1.3250 (GBP 781.13 million)
USD/CHF
- 0.8000 (US$350.67 million)
- 0.7700 (US$300.00 million)
USD/CAD
- 1.3940 (US$600.00 million)
- 1.3800 (US$ 652.00 million)
AUD/USD
EUR/GBP
- 0.8800 (EUR 486.21 million)
- 0.8740 (EUR 411.89 million)
- 0.8700 (EUR 627.24 million)
- 0.8650 (EUR 513.20 million)
What are option expirations?
FX option expiration price levels refer to the strike prices where option contracts are set to expire. These levels include both calls and puts.
When you see “EUR/USD at 1.1600 for €4 billion” it means that there are a total of €4 billion worth of options (calls + puts combined) that have a strike price of 1.1600 and are expiring at that specific time (“New York Cut” at 10:00 AM ET).
Traders keep an eye on these levels because they often act as a “magnet” for price. For example, if nothing is happening in the market and the price is close to the expiration level, let’s say 30-50 pips away, you will usually see the price moving towards the expiration level. This is due to the hedging activity of market makers (banks, dealers, etc.).
As the price approaches the strike price near expiration, these market makers should aggressively buy or sell the currency to reduce their risk. This hedging activity suppresses volatility and keeps the price “pinned” close to the strike price until the expiration time passes.
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Justin prepared a weekly overview here before going on vacation.
For more information on how to use this data, you can check out this post here.
