Every Expiry on Today's Board Dies Before Its Own Event.

The yen board is the only one sitting on the market

Six dollar–yen strikes, 6.979 billion dollars in total: 155.75 at 510 million, 157.00 at one billion, 157.50 at 869 million, 157.75 at one billion, 157.85 at 2.1 billion and 158.00 at 1.5 billion. Spot was 157.76 at 10:20 GMT inside a 157.42 to 157.89 session.

Lay the two against each other and the arrangement is unusually tight. 5.469 billion dollars — 78.4 per cent of the whole board — sits in the fifty pips from 157.50 to 158.00, and spot is inside that fifty pips. The largest single strike, 2.1 billion at 157.85, is nine pips above spot, and the session high at 157.89 has already traded four pips through it. The one-billion-dollar strike at 157.75 is one pip away. There is no meaningful notional below 157.00 except half a billion at 155.75, two hundred and one pips down and irrelevant.

What that is worth, stated narrowly: between now and 14:00 UTC, dollar–yen is trading inside its own expiry ladder rather than towards it, and the thing a ladder like this usually produces is a pin rather than a break. It is not a reason to sell 157.85 and it is not a reason to buy 157.50. It is a reason to expect the next forty pips to be worth fewer pips than they look, and to stop treating a close above the session high as a signal until the cut has cleared. The 200-day moving average is seventy-six pips above spot at 158.52 on the same reader, which is the first object in this ladder that is not an order.

The euro board is entirely out of the market and the sterling board has a Budget behind it

Four euro strikes, 3.35 billion euros: 1.1175 at 834 million, 1.1200 at 721 million, 1.1250 at 1.1 billion, 1.1300 at 695 million. Spot is 1.1142. Every single strike is above the market — the nearest by thirty-three pips, the farthest by a hundred and fifty-eight — and the session high of 1.1177 cleared the lowest strike by two pips before the euro fell thirty-five pips away from it. Three and a quarter billion euros of expiring optionality that the market has already walked away from, in a currency whose central bank meets on Thursday.

That contrast is the useful part. Two boards, the same cut, the same hour: one centred on spot with four fifths of its weight inside fifty pips, one stacked entirely above a market that has left. A system that treats “large expiries today” as a uniform state variable gets both of these wrong in opposite directions. The expiry matters when spot is in it. Notional at a strike spot cannot reach is a number, not a force.

Sterling sits between the two. 1.894 billion pounds across three strikes, with 800 million at 1.3300 and spot at 1.3320 — twenty pips — inside a forty-two-pip session. And twenty-two and a half hours after that expires, the Chancellor delivers a Budget whose hour this desk could not source from any authoritative page this morning. The expiring pound options are not the Budget trade. They are the last clean pound expiry before it.

The Aussie board is the finding: five billion dollars dying ten hours early

Four Australian dollar strikes, 4.969 billion: 0.6900 at 895 million, 0.6975 at 2.1 billion, 0.7015 at 774 million and 0.7030 at 1.2 billion. Spot is about 0.7021, which puts it six pips above one strike and nine pips below another, with the single biggest line forty-six pips below at 0.6975. By the standard of the euro board this is a live ladder — spot is in it, and the 2.1 billion at 0.6975 matches the largest dollar–yen strike notional for notional.

Now put the clock on it. The cut is 14:00 UTC today. Australia’s September-quarter consumer price index — the issuer puts it at 11:30am Canberra time, which is 00:30 UTC — is ten and a half hours after the cut, with a consensus of 1.3 per cent quarter-on-quarter against 0.6 previously on one reader, which is a doubling. The Reserve Bank of New Zealand decides eleven hours after the cut, at 01:00, and is expected to raise. Fifteen minutes before the Australian print, five Reserve Bank of Australia officials begin an open-ended Senate estimates appearance by videoconference.

So the largest concentration of expiring Australian dollar optionality on the board is extinguished ten and a half hours before the event that would have decided whether it paid. Whoever is short those strikes stops caring at 14:00 today. Whoever wanted the CPI has to own something else by then. That is worth saying plainly because of what it does to the hours in between: the people with a reason to defend 0.6975 and 0.7030 have that reason removed at the cut, and the event risk arrives into a book that has just lost five billion dollars of gamma. The thin, directionless Asian hours this desk keeps writing about are thinner than usual tomorrow, and this is one mechanical reason why.

The same logic applies to the yen with the opposite sign. The Bank of Japan decides on Friday — the Bank’s own calendar still gives no time for the decision and 15:30 Japan time for the press conference — which is three days after today’s cut, so today’s seven billion dollars of dollar–yen notional has nothing to do with it either. Of the four boards on today’s page, not one expires after the event in its own currency. Today’s 14:00 cut is the last clean expiry before four central banks and a Budget.

What this does not tell you

• Every notional on this board comes from one publisher. A mirror of a second publisher’s page independently confirms the structure — one euro strike at 1.1175, three dollar–yen strikes between 157.75 and 158.00, an Australian strike at 0.7030 — and carries no amounts at all, so the sizes are single-sourced and the arrangement is two-sourced.
• We do not know the direction of any of this notional. An expiry board says what expires, not who is short it. Every inference above about defending a strike assumes a market-maker is short the options, which is usual and not certain.
• A pin is a tendency, not a mechanism you can trade on its own. We have published nothing about what happened at previous cuts this month because we have not read a board this month until today.
• The 200-day moving average at 158.52 is one publisher’s figure with no date on the window, which is a defect this desk has written about twice this week in other fields.
• The Australian consensus of 1.3 per cent quarter-on-quarter is one reader. There is no trimmed-mean consensus in this file and no published figure for the monthly indicator.
• Sterling’s Budget hour is one secondary reader, approximate. Treat it as a block.
• Nothing here is a view on direction in any of the four pairs. The whole argument is about when to be exposed and how much, and the answer this board gives is: less than usual into 14:00 in dollar–yen, because the ladder absorbs the move, and less than usual in the Australian dollar after it, because the ladder stops absorbing anything.

Related

• FX events calendar — the cut times and release schedule in UTC.
• Signals — how we size into and out of event windows.
• EA presets — exposure and news-window settings.
• This morning’s Tokyo session, where the 158.00 strike was carried unconfirmed.
• Yesterday’s pivot ladders, on which the only real order in the cluster was a 157.00 strike.