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Tuesday, February 27, 2007

FX OPTIONS: EUR/USD 1.3300 Barriers include DNT Peak

Exotic option exposure at 1.3300 includes the peak trigger of a Double No Touch option. EUR/USD last traded at 1.3300 on December 8 last year. 1.3297 defines the 2007 high-to-date (Jan 2).

Additional exotic barriers are located up at 1.3400, 1.3450, 1.3500, 1.3550, 1.3600, 1.3650 and 1.3700+. Spot scaled a 21-month high of 1.3370 on December 4 last year. 1.3667 defines the euro lifetime high (30 Dec 2004). Expiry-wise: a large 1.3240 strike rolls off at today's 10am EST NY cut (15:00GMT).

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