Free Trial

March Tsy Option Expiration Roundup

US TSY OPTIONS

March Treasury options expire today, latest open interest as of Thu's close below. Decent overall open interest in 5s and 10s with modest pin risk in the TYH4 109.5 and FVH4 106.25 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 higher this morning on heavy volumes due to the Mar/Jun quarterly roll. No data or scheduled Fed speakers should keep rates range bound barring any exogenous factors.

ExpiryTotal CallsTotal PutsTotalNearest ATM Strike (Total C/P)
Mar 30Y206,793189,028395,821117.5 (1,018C, 5,503P; 6,521 total)
118.0 (5,838C, 9,932P; 15,770 total)
118.5 (3,218C, 3,503P; 6,721 total)
Mar 10Y901,008861,1451,762,153109.25 (1,624C, 37,361P; 39,985 total)
109.5 (18,419C, 68,621P; 87,040 total)
109.7 (14,022C, 15,597P; 29,619 total)
Mar 5Y409,609292,276701,885106.0 (2,487C, 28,112P; 30,599 total)
106.2 (6,341C, 21,161P; 27,502 total)
106.5 (17,927C, 18,563P; 36,490 total)
Mar 2Y55,11164,329119,440101.7 (100C, 10,707P; 10,807 total)
101.8 (896C, 2,281P; 3,177 total)

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.