Here's the notable expiries that the DTCC have listed for today 5 Sept 2016

  • EURUSD: 1.1000 (EUR 330m) 1.1200 (426m) 1.1400 (643m)
  • USDJPY: 102.00 (USD 361m) 103.50 (255m) 104.00 (231m) 105.00 (278m)
  • AUDUSD: 0.7500 ( AUD 266m) 0.7620 (361m) 0.7770 (322m)

Any one doubting the impact of large expiries should take a look at the price action on EURUSD, EURGBP and GBPUSD post-NFP's on Friday where a €1.9bln expiry at 1.1200 kept EURUSD and EURGBP under pressure which in turn kept a bid under GBPUSD.

Remember that these are "vanilla" options so still in play right up to expiry at 14.00 GMT on the day even if breached in the meantime, unlike barrier options.

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