Free Trial

June Quarterly Option Expiration

US TSY OPTIONS

June options expire Friday, latest open interest as of Wed's close below. In terms of pin risk - pretty modest open interest across the curve. Could present some risk if June 10Y futures slip to 119.50 strike or rally to 120.00; 113.0 and 113.25 5Y strikes if 5Y futures gain from current levels.

  • Options 0.5 tic ITM (0.25 tic for 5-, 2-yr opt's) are auto-exercised.
ExpiryCallsPutsTotalNearest ATM Strike (Totals)
June 30Y205,226183,689388,915140.5 (1,708C, 1,373P)
141.0 (6,458C, 5,457P)
141.5 (3,110C, 971P)
June 10Y1,345,260878,5342,223,794119.50 (45,067C, 34,549P)
119.75 (15,582C, 3,793P)
120.00 (45,645C, 38,033P)
June 5Y522,541490,1111,012,652112.75 (17,357C, 18,049P)
113.0 (33,840C, 34,299P)
113.25 (23,664C, 21,591P)
June 2Y4,79614,01718,813105.62 (267C, 6P)
105.75 (130C, 289P)

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.