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Feb '22 Serial Expiration; Pin Risk Up On Rally

US TSY OPTIONS

Feb serial ops expire today. Decent amount of options coming off the sheets for a serial expiry. Though accts have been active unwinding/rolling to avoid pin risk, today's rally have exposed larger positions in higher strikes, namely TYG 128 and FVG 119.25. Options 0.5 tic ITM (0.25 tic for 5-, 2-yr opt's) auto-exercised.

EXPIRYCALLSPUTSTOTALNEAREST ATM STRIKE TOTALS
Feb 30Y175,755121,292297,047155.50 w/ 6,979 (4,413c, 2,566P)
156.00 w/ 16,438 (10,945c, 5,493P)
156.50 w/ 8,051 (5,777c, 2,274P)
Feb 10Y516,633494,3051,010,938127.75 w/ 13,726 (5,010c, 8,716p)
128.00 w/ 50,829 (12,975c, 37,854p)
128.25 w/ 26,527 (14,063c, 12,464P)
Feb 5Y396,636239,657636,293119.00 w/ 18,753 (4,891c, 13,862p)
119.25 w/ 44,323 (12,629c, 31,694p)
119.50 w/ 26,320 (12,780c, 13,540p)
Feb 2Y1,1513,6844,835108.50 w/ 0 (0c, 0p)
108.62 w/ 501 (6c, 495p)

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