• DTCC option traded data shows massive strikes in the current EUR/USD zone

• 10-billion around 1.0900, 6-billion around 1.1000 - more between

• All of these expire this week so are attracting maximum hedging activity

• This hedging of soon-to-expire options will limit volatility/contain spot

• Low option implied volatility is consistent with low actual volatility

• Benchmark 1-month implied vol 2023 low 7.6, now 8.1 as gets Fed and ECB

• Overnight expiry implied volatility also low - despite U.S. CPI inclusion

  
  

  
  

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