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Oct'23 Serial Expiration; Pin Risk in 5Y, 10Y Options

US TSY OPTIONS

October'23 serial ops expire today. Decent amount of options coming off the sheets for a serial expiry. Option accts have been active unwinding/rolling to avoid pin risk, some work to be done on 5Y and 10Y strikes. Options 0.5 tic ITM (0.25 tic for 5-, 2-yr opt's) auto-exercised.

EXPIRYCALLSPUTSTOTALNEAREST ATM STRIKE TOTALS
Oct 30Y168,312121,537289,849115.50 w/ 2,830 (41c, 2,789P)
116.00 w/ 8,580 (640c, 7,940P)
116.50 w/ 4,093 (679c, 3,414P)
Oct 10Y616,448436,9271,053,375108.25 w/ 17,308 (1,100c, 16,208p)
108.50 w/ 36,263 (5,681c, 30,582p)
108.75 w/ 22,848 (8,425c, 14,423P)
Oct 5Y373,782239,657613,439105.00 w/ 10,429 (1,314c, 9,115p)
105.25 w/ 15,163 (3,474c, 11,689p)
105.50 w/ 22,606 (13,151c, 9,455p)
Oct 2Y46,44427,17273,616101.12 w/ 3,618 (201c, 3,417p)
101.25 w/ 2,451 (620c, 1,831p)
101.37 (10,633C, 9,499P)

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