Brandt's Biggest FX Bet Is Short EUR/JPY as Yen Strengthens
Peter Brandt's firm holds its largest futures and FX position in a short EUR/JPY trade as the yen gains on intervention and rate expectations.
FX option expiry strikes and notional amounts for major pairs at the Sept. 4 New York cut.
For EUR/USD, the following expiry strikes are observed:
For USD/JPY, the expirations are:
For GBP/USD, the expiry levels are:
For USD/CAD, the option expiration strikes are:
For USD/CHF, the expiries are:
For AUD/USD, the following strikes are due:
For NZD/USD, the expiry strike is:
Option expiry basics:
Foreign-exchange option expiration price levels indicate the strike prices at which option contracts will expire, encompassing both call and put options.
For instance, if you see "EUR/USD at 1.1600 for €4 billion," that represents a total of €4 billion in option notional (calls and puts combined) with a strike of 1.1600 expiring at the New York Cut (10:00 a.m. ET).
Market participants monitor these levels because they frequently act as a "magnet" for the price. When the market is calm and the spot price sits within 30-50 pips of an expiry level, the price tends to drift toward that level due to market makers' hedging activity.
As expiration approaches and the price nears the strike, market makers must buy or sell the currency aggressively to manage risk. This hedging often reduces volatility and keeps the price anchored near the strike until after the cut.
Share to
Disclaimer: this article comes from third-party media and is provided for reference only. It does not constitute investment advice. Crypto and other financial products carry significant price volatility risk, so please make your own decisions carefully.
Peter Brandt's firm holds its largest futures and FX position in a short EUR/JPY trade as the yen gains on intervention and rate expectations.
The PBOC is expected to announce its daily USD/CNY midpoint around 0115 GMT, with Reuters estimating it at 6.6758.
MUFG expects the ECB to hold next week and deliver two more hikes through Q1 2027. It sees EUR/USD at 1.12 by year-end.
Stock futures point to sharp losses, oil nears $100, and Treasury yields fall amid renewed Iran strike fears. Earnings beats fail to lift some shares.