June options expire today, latest open interest as of Thu's close below. In terms of pin risk - pretty modest open interest across the curve. Could present some risk if June 10Y futures hold around the 120.00 strike; 113.0 and 113.25 5Y strikes if 5Y futures hold or slip from current levels.
- Options 0.5 tic ITM (0.25 tic for 5-, 2-yr opt's) are auto-exercised.
|Expiry||Calls||Puts||Total||Nearest ATM Strike (Totals)|
|June 30Y||202,860||182,728||385,588||141.0 (5,938C, 4,812P)|
|141.5 (2,456C, 947P)|
|142.0 (9,972C, 7,009P)|
|June 10Y||1,313,018||873,960||2,186,978||119.75 (11,928C, 8,983P)|
|120.00 (29,271C, 33,620P)|
|120.25 (7,994C, 4,480P)|
|June 5Y||516,950||479,469||996,419||113.0 (33,674C, 26,511P)|
|113.25 (23,133C, 21,563P)|
|113.5 (28,566C, 13,217P)|
|June 2Y||4,753||14,017||18,770||105.62 (266C, 6P)|
|105.75 (88C, 289P)|