Every Expiry on Today's Board Dies Before Its Own Event.
The option expiry board opened after three slots of failing to read one, and the three strikes we had been carrying unconfirmed are on it: 158.00, 157.85 and 157.00.
The structural point is less comfortable. Roughly seven billion dollars of dollar-yen notional, three and a quarter billion euros, nearly two billion pounds and almost five billion Australian dollars expire at the 14:00 UTC cut — and the Australian quarterly CPI, the RBNZ decision, the UK Budget and the Federal Reserve all come after it. Not one of the four boards expires after the event in its own currency. The yen board is the only one sitting on the market: 78.4 per cent of its 6.979 billion dollars sits in the fifty pips from 157.50 to 158.00, spot is inside that band at 157.76, the biggest strike is 2.1 billion at 157.85 nine pips up, and the session high at 157.89 has already traded four pips through it. The euro board is the opposite: all four strikes are above a 1.1142 spot, the nearest by thirty-three pips, three and a quarter billion euros the market has walked away from. A system treating "large expiries today" as one state variable gets those two wrong in opposite directions. And the Aussie board is the finding: 4.969 billion Australian dollars, with 2.1 billion at 0.6975, is extinguished ten and a half hours before a quarterly inflation print and eleven before a New Zealand decision. Whoever has a reason to defend those strikes loses it at 14:00, and the event arrives into a book that has just lost five billion dollars of gamma.