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May 12 - 08:55 AM

EUR/USD - Huge Option Hedging Might Limit Post CPI EUR/USD Volatility

By Richard Pace  —  May 12 - 07:06 AM
  • Delta hedging of FX option expiries can add to support/resistance at strikes

  • There are some huge strikes, soon to expire around current EUR/USD price

  • Those on Wednesday nL1N2MZ0BG are dwarfed by Thursday's option expiries

  • 1.2-bln euro's 1.2100, 1-bln 1.2110-30, 900-mln 1.2040-50, 1.8-bln 1.2170

  • DTCC data shows around 5-billion euro's next week 1.2150-75

  • However, broader G10 volatility risk higher nL1N2MZ0M5

  • Expectations for U.S inflation and FX reaction nL1N2MZ0PB

For more click on FXBUZ


EUR/USD option expiries Click here

Source:
Refinitiv IFR Research/Market Commentary

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