USD/CAD is at the highs of the day, touching 1.0397. There’s a good sized USD/CAD option strike expiring at 1.04 tomorrow with the total notional at about $604 million.
One of the best examples I’ve ever seen of option expiry at work was back on Sept 17 when a $1.44 billion USD/CAD expiry at 1.0212 probably knocked the pair about 100 pips lower.
Other expiries of this size have had mixed effects on CAD. The whoppers on the USD/CAD calendar is a $2.25 billion expiration on Nov 5 at 1.0500 along with a slightly smaller 1.1000 expiry the same day. That’s probably some kind of pair trade but it’s a massive one.
