May 22, 2024 15:38 GMT
June Tsy Option Expiration Roundup
US TSY OPTIONS
June Treasury options expire Friday, latest open interest as of Tue's close below. Large open interest in 10s with decent pin risk in the TYM4 109 and 109.25 strikes. Options that are 0.5 tic in-the-money (0.25 tic for 5-, 2-yr opt's) are auto-exercised. Underlying futures are mildly weaker this morning, off lows on heavy volumes tied to Jun/Sep quarterly roll. Focus on this afternoon's FOMC minutes for May meeting.
Expiry | Total Calls | Total Puts | Total | Nearest ATM Strike (Total C/P) |
Jun 30Y | 203,576 | 189,028 | 392,604 | 117.0 (9,561C, 8,439P; 18,000 total) |
117.5 (3,627C, 2,335P; 5,962 total) | ||||
118.0 (15,297C, 8,102P; 23,399 total) | ||||
Jun 10Y | 1,402,220 | 1,151,163 | 2,553,383 | 109.0 (92,219C, 37,361P; 129,580/t) |
109.2 (38,770C, 68,621P; 107,391/t) | ||||
109.5 (50,405C, 15,597P; 66,002 total) | ||||
Jun 5Y | 469,369 | 504,680 | 974,049 | 105.5 (20,211C, 38,624P; 58,835 total) |
105.7 (19,261C, 12,896P; 32,157 total) | ||||
106.0 (24,442C, 43,869P; 68,311 total) | ||||
Jun 2Y | 182,728 | 81,552 | 264,280 | 101.6 (7,181C, 10,707P; 17,888 total) |
101.7 (6,570C, 2,281P; 8,851 total) | ||||
101.8 (4,692C, 7,020P; 11,712 total) |
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