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March Options Expiration, Puts Squared/Rolled

US TSY OPTIONS

March options expire Friday, latest open interest as of last Thu's close below. Squaring up or rolling out: notable drop in 5Y and 10Y put open interest on shortened week. Options 0.5 tic ITM (0.25 tic for 5-, 2-yr opt's) are auto-exercised.

ExpiryCallsPutsTotalNearest ATM Strike (Totals)
Mar 30Y273,508160,605434,113163.5 (91C, 3,081P)
164.0 (1,054C, 7,111P)
164.5 (1,178C, 1,362P)
Mar 10Y898,608893,5941,792,202135.5 (6,340C, 63,621P)
135.7 (4,410C, 18,536P)
136.0 (29,693C, 109,300P)
Mar 5Y186,924219,258406,182125.0 (79C, 18,534P)
125.2 (2,472C, 46,559P)
125.5 (20,401C, 33,249P)
Mar 2Y2,5426,1988,740110.3 (248C, 1,200P)
110.5 (924C, 2,708P)

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