Data from the Depository Trust & Clearing Corporation (DTCC) point to a number of sizable currency option expiries set for the New York cut on Thursday. The listings highlight concentrations in several major pairs, with the euro-dollar complex showing the largest single strike exposures.
EUR/USD displays the biggest notional amounts among the reported expiries. Positions include 2.91 billion at the 1.1500 strike, 3.48 billion at 1.1640 and 2.36 billion at 1.1550. The feed also identifies forthcoming expiries tied to the euro-dollar: 2.97 billion at 1.1500 expiring on June 19, 2.34 billion at 1.1550 on June 19 and 1.65 billion at 1.1550 on June 22.
USD/JPY option interest is concentrated at a set of large strikes as well. Reported positions include $1.79 billion at 155.00, $1.62 billion at 161.00 and $1.33 billion at 158.00. Looking ahead, the DTCC listings show $1.86 billion at 163.00 on June 22, $1.37 billion at 160.00 on June 22 and $919.2 million at 161.00 on June 22.
Australian dollar option activity is also notable. AUD-denominated positions comprise AUD2.53 billion at 0.7050, AUD1.69 billion at 0.7100 and AUD1.2 billion at 0.7170. Future strikes cited include AUD663.3 million at 0.7000 on June 23, AUD585.3 million at 0.5800 on June 23 and AUD511.1 million at 0.7200 on June 23.
In sterling, the DTCC record shows sizeable GBP/USD option notional at a handful of strikes: 825.1 million at 1.3525, 786.5 million at 1.3630 and 607.6 million at 1.3400. Upcoming expiries listed for the pound include 843.5 million at 1.3200 on June 22, 767.8 million at 1.3300 on June 22 and 733.4 million at 1.3100 on June 22.
Other major expiries outside the G7 crosses include USD/CAD with $884.1 million at 1.3735, $562.8 million at 1.3900 and $534.8 million at 1.3670. Emerging market and other currency pairs with notable expiries are USD/BRL at $633.5 million for the 4.9500 strike, USD/CNY at $450 million for 6.7400 and USD/MXN at $690 million for 17.20.
These DTCC-recorded option positions identify where substantial notional exposures are concentrated across several currency pairs for the New York cut. Market participants and desks that track option expiries can use such information to observe where liquidity and gamma exposures are pooled across strikes and dates.
Because the listings are confined to the notional values and strike/dates recorded by DTCC, they provide a snapshot of expiries without commentary on underlying strategies or market positioning beyond the reported figures.