Foreign exchange option expiration levels for Sept. 4 New York cut

For EUR/USD, the following expiry strikes are observed:

• 1.1700 (EUR 1.78 bn)
• 1.1600 (EUR 3.13 bn)
• 1.1500 (EUR 1.75 bn)

For USD/JPY, the expirations are:

• 157.00 (US$ 2.19 bn)
• 155.00 (US$ 2.94 mn)

For GBP/USD, the expiry levels are:

• 1.3615 (GBP 439.22 mn)
• 1.3500 (GBP 315.47 mn)
• 1.3400 (GBP 304.19 mn)

For USD/CAD, the option expiration strikes are:

• 1.4000 (USD 781.48 mn)
• 1.3800 (USD 1.28 bn)

For USD/CHF, the expiries are:

• 0.8150 (USD 548.73 mn)
• 1.8050 (USD 313.98 mn)

For AUD/USD, the following strikes are due:

• 0.7250 (AUD 737.92 mn)
• 0.7200 (AUD 1.33 bn)
• 0.7100 (AUD 1.19 bn)

For NZD/USD, the expiry strike is:

• 0.5900 (NZD 221.69 mn)

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.