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Oct 13 - 03:55 AM

EUR/USD - Huge EUR/USD Delta Hedging Flows To Dominate/contain Tuesday

By Richard Pace  —  Oct 13 - 02:05 AM
  • DTCC flagged Tuesday's massive 1.1800 strike EUR/USD option expiry last week

  • It's grown to EUR 2.5-billion now, and set to dominate today nL1N2H4057

  • Option players try to neutralise any exposure by trading cash around strike

  • Called delta hedging, it can often contain FX rate if nearby, like it is now

  • Another EUR 2.5-billion of 1.1800 strikes are spread between Thursday-Friday

  • Options price risk of more EUR gains, but potentially limited nL1N2H303Y


EUR/USD FX option expiries Click here

Source:
Refinitiv IFR Research/Market Commentary

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