The 10am New York option cut and why price sometimes pins to round strikes

[Shadow Trader]

Large currency options expire at 10am New York time each day, an event known as the New York cut. When big option positions sit at a certain strike, price can get pulled toward that level as expiry approaches, because dealers hedging their positions buy and sell the underlying to stay neutral. Traders call it pinning.

The effect is strongest when a big chunk of open interest clusters around a round number, say 1.0800 in EURUSD. In the hours before the cut, price may chop around that level with strange reluctance to leave. Right after the cut, the magnet disappears and price sometimes breaks away quickly.

Here's why it matters for a scalper. A breakout setup near a big strike before 10am has a lower success rate than the same setup after the cut. A mean reversion setup near the strike may work better than usual.

Information on option expiries is published by some data vendors and banks, usually free in a rough form. A daily glance at the list takes two minutes, and the levels can be marked on the chart.

It won't always matter, and some days the strikes get ignored. But the pattern shows up often enough to deserve a note in the journal.

Has anyone tracked expiry levels against price action? Is the effect strong enough to change how entries are taken before 10am?