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Jan Expiry Details

US TSY OPTIONS

Reminder, January serial ops expire Thursday, earlier than usual due to Christmas holiday early close Thursday, full close Friday. Decent amount of options coming off the sheets for a serial expiry. Sell-off in underlying crossing several strikes. Options 0.5 tic ITM (0.25 tic for 5-, 2-yr opt's) auto-exercised.

EXPIRYCALLSPUTSTOTALNEAREST ATM STRIKE TOTALS
Jan 30Y251,399202,159453,558172.00 w/ 22,654 (6,229c, 16,425P)
172.50 w/ 27,857 (20,202c, 7,655P)
173.00 w/ 33,531 (16,521c, 17,010P)
Jan 10Y549,349636,3831,185,729137.75 w/ 36,599 (21,167c, 15,432p)
138.00 w/ 83,528 (49,319c, 34,209p)
138.25 w/ 25,123 (20,967c, 4,156P)
Jan 5Y343,732164,318508,050125.75 w/ 29,314 (14,117c, 15,197p)
126.00 w/ 58,651 (46,840c, 11,811p)
126.25 w/ 84,296 (83,676c, 620p)
Jan 2Y2,92310,03712,960110.38 w/ 9,504 (1,475c, 8,029p)
110.50 w/ 1,436 (1,426c, 10p)

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