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Feb 23 - 06:55 AM

AUD/USD - Don't Ignore Hedging Effect Of 5-Billion AUD/USD Options

By Richard Pace  —  Feb 23 - 04:51 AM
  • The related delta hedging of FX options can impact spot price

  • To neutralising strike risk - volatility players typically hedge with spot

  • Hedging increases as maturities near, and especially if the options are big

  • This week sees massive AUD 5-billion 0.7900 strike expiries

  • Some today, but the bulk on Friday - and the size is growing nL1N2KT0FU

  • If all else fails to excite AUD/USD, this hedging might pin AUD near 0.7900



For more click on FXBUZ


AUD=D3 Click here

Source:
Refinitiv IFR Research/Market Commentary

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