As of 8:39 am, at a strike price of 1.0875, the monthly call options for the EUR/USD were out of the money given the market price of 1.074. Call options on the underlying EUR/USD futures were also out of the money with futures on the currency pair quoted at 1.07655.
The opposite holds for owners of put options for the EUR/USD where the monthly strike price is in excess of the market price and price on the underlying futures for the pair.
Much of the same for owners of call options on the USD/JPY where the currency pair is priced at 0.00699. Owners of put options on the pair are currently in the money with a strike price of 0.00685.
At 8:53 am, yields on 10-year U.S. government bonds were at 4.15%, per data from Bloomberg. Germany’s 10-year bunds were at 2.34% while the Japanese 10-year bonds were at 0.69%.
| Currency pair | CME Group strike price | x-rates.com FX spot prices | CME Group underlying futures |
| EUR/USD | 1.0875 | 1.07469 | 1.07655 |
| JPY/USD | 0.00685 | 0.006699 | 0.006742 |
| United States | Germany | Japan |
| 4.15% | 2.34% | 0.69% |
Currently, U.S. Treasury secretary Janet Yellen is testifying before the U.S. Senate Committee on Banking, Housing and Urban Affairs. She is presenting the annual report of the Financial Stability Oversight Council.
Alton Drew
8 February 2024
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