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Sep 04 - 03:55 AM

EUR/USD - Huge 10-Billion EUR/USD Option Expiries Can Impact NFP Day Range

By Richard Pace  —  Sep 04 - 02:05 AM
  • 10-billion option expiries between 1.1780-1.1910, more above nL1N2G103Z

  • Related hedging flows can typically limit ranges - especially when this big

  • Certainly true so far - 1.1839-58 range in Asia, opens London 1.1850

  • However, FX option pricing not ruling out increased post NFP volatility

  • Premium/break-even for overnight expiry straddle 67 pips either direction

  • Recent option pricing/flows warn of spot setback risk nL1N2G006Z



EUR/USD option expiries Click here

Source:
Refinitiv IFR Research/Market Commentary

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