*** Reminder, lead March.........>

US EURODLR OPTIONS: *** Reminder, lead March Eurodollar futures and options

expire Friday (technically, futures and front Mar options expire Mon morning at

6:00 am ET while Red through Purple midcurves expire at 5:00 pm ET Fri). Despite

significant position unwind effort to avoid pin risk this wk, a massive amount

of open interest remains. Final OI coming into session according to CME Group

Data below: 

-- Mar quarterly OI: 3,963,830 (2,507,941 calls, 1,455,889 puts);

-- Mar 1yr midcurve (Red) OI: 2,744,224 (1,656,641 calls, 1,087,583 puts);

-- Mar 2yr midcurve (Green) OI: 2,268,305 (1,218,237 calls, 1,050,068 puts);

-- Mar 3yr midcurve (Blue) OI: 1,265,867 (735,565 calls, 530,302 puts);

-- Mar 4yr midcurve (Gold) OI: 241,989 (157,933 calls, 84,056 puts);

That's a total of 10,484,215 options (3,963,830 in front Mar, 6,520,385 total

midcurves) coming off the sheets.