Forex options expiring at the 10am (15.00 GMT) New York cut 27 June 2018

Just a few large ones today 😉 A mere 6.92bn in USDJPY between 108.90 & 110.10 and 18.76bn in EURUSD between 1.1500 & 1.1700.

For the EURUSD options, there’s many trades at each strike and a decent split between calls and puts. The biggest strikes with the majority either as calls or puts are the 1.15’s (2.25bn puts) and the 1.1620’s (2.4bn puts). The biggest calls are at 1.1690 (1.56bn). Given there’s so much and the wide spread of them all, that can often make it tricky to see any options related action into the expiry as there plenty to jockey over, and potentially lots of jockeys doing so.

We do have one clear example of an option strategy in play and that’s in USDZAR where one player has what’s called a “strip” on. They’ve bought two lots of puts (13.75 & 35) to one lot of calls (13.10). That’s a pretty bearish strategy as it relies on the price being below the put strikes. It looks like the holder will be losing their premium on that one though, given the price is pretty much in between the 35 & 75 strikes.

Forex option expiries

Forex option expiries

 

Ryan Littlestone

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