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Foreign Exchange

FX news: Large EUR/USD strikes expiring tonight on CME

Will Patrick at the CME points out that today (Friday June 4) is the monthly FX options expiry day on the CME and that the exchange has a few notable strikes rolling off. Note that “the majority are rolling off at 2pm Chicago, which is 3pm NY, 8pm London” as opposed to the 10am NY OTC market cut.

The two biggest strikes are:

2pm Chicago 1.2200 puts in €1.5 billion

2pm Chicago 1.1850 puts in €1.5 billion.

The 1.22s were apparently part of the once popular 1.2200/1.6000 strangle which, at its height, had open interest of €7 billion. Unless US payrolls are way off consensus the market might find 1.2200 rather sticky today.

There is also talk of large double-no-touch expiry in the OTC market: the range was generally said to be 1.2100/1.2500.

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